Local asymptotic normality and efficient estimation for INAR(p) models
研究了整数自回归(INAR)过程的参数有效估计问题，证明了INAR(p)模型具有局部渐近正态性，为计数时间序列的统计推断提供了理论基础。
Abstract. Integer‐valued autoregressive (INAR) processes have been introduced to model non‐negative integer‐valued phenomena that evolve in time. The distribution of an INAR( p ) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the non‐negative integers, called an immigration distribution. This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR( p ) model has the Local Asymptotic Normality property.