Bu, Ruijun; Hadri, Kaddour; McCabe, Brendan - Regional and International Economic Development Group, … - 2006
In this paper, we extend earlier work of Freeland and McCabe (2004) and develop a general framework for maximum likelihood (ML) estimation of higher-order integer-valued autoregressive (INAR(p)) processes. Our exposition includes the case where the innovation sequence has a Poisson distribution...