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On strongly dependent zero-inflated INAR(1) processes

Author

Listed:
  • Jan Beran

    (University of Konstanz)

  • Frieder Droullier

    (University of Konstanz)

Abstract

We consider INAR(1) processes modulated by an unobserved strongly dependent $$0-1$$ 0 - 1 process. The observed process exhibits zero inflation and long memory. A simple method is proposed for estimating the INAR-parameters without modelling the unobserved modulating process. Asymptotic results for the estimators are derived, and a zero-inflation test is introduced. Asymptotic rejection regions and asymptotic power under long-memory alternatives are derived. A small simulation study illustrates the asymptotic results.

Suggested Citation

  • Jan Beran & Frieder Droullier, 2024. "On strongly dependent zero-inflated INAR(1) processes," Statistical Papers, Springer, vol. 65(4), pages 2527-2553, June.
    • Handle: RePEc:spr:stpapr:v:65:y:2024:i:4:d:10.1007_s00362-023-01496-z
    DOI: 10.1007/s00362-023-01496-z
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