Testing for Poisson arrivals in INAR(1) processes

TEST - Tập 25 - Trang 503-524 - 2015
Sebastian Schweer1, Christian H. Weiß2
1Institute of Applied Mathematics, University of Heidelberg, Heidelberg, Germany
2Department of Mathematics and Statistics, Helmut Schmidt University, Hamburg, Germany

Tóm tắt

In the framework of integer-valued autoregressive processes of order 1 [INAR(1)], two new tests for the null hypothesis of Poisson-distributed innovations are developed. The tests focus on time reversibility, as this feature is shown to be satisfied exclusively by Poisson INAR(1) processes. The necessary asymptotic variances are explicitly calculated using the joint cumulants of these processes. The finite-sample behavior of the test statistics and the power of the tests are investigated in a simulation study. The results show that the newly developed tests perform better than existing ones in certain situations.

Tài liệu tham khảo

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