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Whittle likelihood estimation in INAR(1) process

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  • Xiaoqiang Zeng

Abstract

The frequency domain analysis is considered in the stationary INAR(1) process under a general innovation. The Whittle likelihood from the demeaned data is shown to be not identifiable with respect to the innovation mean and variance. Using an identifiable version of the Whittle likelihood, the strong consistency and asymptotic normality of the Whittle estimator are established. Furthermore, the Wald-type test about the equidispersion is proposed on the basis of the estimators for the innovation mean and variance.

Suggested Citation

  • Xiaoqiang Zeng, 2024. "Whittle likelihood estimation in INAR(1) process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(17), pages 6177-6196, September.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:17:p:6177-6196
    DOI: 10.1080/03610926.2023.2241093
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