Estimation in integer‐valued moving average models
- 1 July 2001
- journal article
- research article
- Published by Wiley in Applied Stochastic Models in Business and Industry
- Vol. 17 (3) , 277-291
- https://doi.org/10.1002/asmb.445
Abstract
The paper presents new characterizations of the integer‐valued moving average model. For four model variants, we give moments and probability generating functions. Yule–Walker and conditional least‐squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of moment estimator based on probability generating functions is presented and shown to be consistent and asymptotically normal. The small sample performance is in some instances better than those of alternative estimators. Copyright © 2001 John Wiley & Sons, Ltd.Keywords
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