Parameter estimation and diagnostic tests for INMA(1) processes

• Boris Aleksandrov ^[1] ; Christian H. Weiß ^[1]
  1. [1] Helmut Schmidt University

     Helmut Schmidt University

     Hamburg, Freie und Hansestadt, Alemania

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 29, Nº. 1, 2020, págs. 196-232
• Idioma: inglés
• DOI: 10.1007/s11749-019-00653-7
• Texto completo no disponible (Saber más ...)
• Resumen

  • The INMA(1) model, an integer-valued counterpart to the usual moving-average model of order 1, gained recently importance for insurance applications. After a comprehensive discussion of stochastic properties of the INMA(1) model, we develop diagnostic tests regarding the marginal distribution (overdispersion, zero inflation) and the autocorrelation structure. We also derive formulae for correcting the bias of point estimators and for constructing joint confidence regions. These inferential approaches rely on asymptotic properties, the finite-sample performance of which is investigated with simulations. A real-data example illustrates the application of the novel diagnostic tools.