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The effects of additive outliers in INAR(1) process and robust estimation
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作者 marcelo bourguignon Klaus L.P.Vasconcellos 《Statistical Theory and Related Fields》 2018年第2期206-214,共9页
In this paper, methods based on ranks and signs for estimating the parameters of thefirst-order integer-valued autoregressive model in the presence of additive outliers are proposed. In particular, we use the robust s... In this paper, methods based on ranks and signs for estimating the parameters of thefirst-order integer-valued autoregressive model in the presence of additive outliers are proposed. In particular, we use the robust sample autocorrelations based on ranks and signsto obtain estimators for the parameters of the Poisson INAR(1) process. The effects ofadditive outliers on the estimates of parameters of integer-valued time series are examined. Some numerical results of the estimators are presented with a discussion of theobtained results. The proposed methods are applied to a dataset concerning the numberof different IP addresses accessing the server of the pages of the Department of Statistics of the University of Würzburg. The results presented here give motivation to use themethodology in practical situations in which Poisson INAR(1) process contains additiveoutliers. 展开更多
关键词 Additive outliers Poisson INAR(1)process ROBUSTNESS squared difference estimator
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