Portmanteau tests for generalized integer-valued autoregressive time series models

In recent years, integer-valued time series attract the attention of researchers and find their applications in data analysis. Among various models, the integer-valued autoregressive (INAR) ones are of great popularity and are widely applied in practice. This paper develops some portmanteau test sta...

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Bibliographic Details
Published in:Statistical papers (Berlin, Germany) Germany), 2022-08, Vol.63 (4), p.1163-1185
Main Authors: ughi, Masoomeh, Shishebor, Zohreh, Zamani, Atefeh
Format: Article
Language:English
Subjects:
Adequacy
Autoregressive models
Data analysis
Integers
Lagrange multiplier
Literature reviews
Monte Carlo simulation
Parameter estimation
Statistical tests
Statistics
Time series
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Summary:In recent years, integer-valued time series attract the attention of researchers and find their applications in data analysis. Among various models, the integer-valued autoregressive (INAR) ones are of great popularity and are widely applied in practice. This paper develops some portmanteau test statistics to check the adequacy of the fitted model in a wide group of INAR processes, called generalized INAR. For this purpose, the asymptotic distributions of the test statistics are obtained and, using Monte Carlo simulation studies, their finite sample properties are derived. Besides, the results are applied in analyzing a real data example
ISSN:0932-5026
1613-9798
DOI:10.1007/s00362-021-01274-9