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Portmanteau tests for generalized integer-valued autoregressive time series models

Author

Listed:
  • Masoomeh Forughi

    (Shiraz University)

  • Zohreh Shishebor

    (Shiraz University)

  • Atefeh Zamani

    (Shiraz University)

Abstract

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

Suggested Citation

  • Masoomeh Forughi & Zohreh Shishebor & Atefeh Zamani, 2022. "Portmanteau tests for generalized integer-valued autoregressive time series models," Statistical Papers, Springer, vol. 63(4), pages 1163-1185, August.
    • Handle: RePEc:spr:stpapr:v:63:y:2022:i:4:d:10.1007_s00362-021-01274-9
    DOI: 10.1007/s00362-021-01274-9
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    References listed on IDEAS

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