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Inference for random coefficient INAR(k) with the occasional level shift random noise based on dual empirical likelihood

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  • Shuxia Zhang
  • Boping Tian

Abstract

The INAR(k) model has been widely used in various kinds of fields. However, there are little discussions about the INAR(k) model with the occasional level shift random noise. In this paper, the maximum likelihood estimation of parameter based on martingale difference sequence is given, the log empirical likelihood ratio test statistic is obtained and the test statistic converges to chi-square distribution, we prove that the confidence region of the parameter is convex. Furthermore, the numerical simulation of the proposed INAR(k) model is given, which illustrates the effectiveness of the model. Then, the proofs of asymptotic results are given in the Appendix.

Suggested Citation

  • Shuxia Zhang & Boping Tian, 2017. "Inference for random coefficient INAR(k) with the occasional level shift random noise based on dual empirical likelihood," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(14), pages 6994-7006, July.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:14:p:6994-7006
    DOI: 10.1080/03610926.2016.1139134
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