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On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications

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  • Sangyeol Lee
  • Siyun Park
  • Cathy W. S. Chen

Abstract

The integer-valued autoregressive (INAR) model has been widely used in diverse fields. Since the task of identifying the underlying distribution of time-series models is a crucial step for further inferences, we consider the goodness-of-fit test for the Poisson assumption on first-order INAR models. For a test, we employ Fisher’s dispersion test due to its simplicity and then derive its null limiting distribution. As an illustration, a simulation study and real data analysis are conducted for the counts of coal mining disasters, the monthly crime data set from New South Wales, and the annual numbers of worldwide earthquakes.

Suggested Citation

  • Sangyeol Lee & Siyun Park & Cathy W. S. Chen, 2017. "On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(20), pages 9985-9994, October.
    • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:20:p:9985-9994
    DOI: 10.1080/03610926.2016.1228970
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    Cited by:

    1. Christian H. Weiß & Esmeralda Gonçalves & Nazaré Mendes Lopes, 2017. "Testing the compounding structure of the CP-INARCH model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(5), pages 571-603, July.

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