Bayesian Estimation for the Order of INAR($q$) Model

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Abstract

In this paper, we consider the problem of determining the order of INAR($q$) model on the basis of the Bayesian estimation theory. The Bayesian estimator for the order is given with respect to a squared-error loss function. The consistency of the estimator is discussed. The results of a simulation study for the estimation method are presented.

Keywords:

INAR($q$) model Bayesian estimation squared-error loss function consistency.
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DOI

10.13447/j.1674-5647.2016.04.04

How to Cite

Bayesian Estimation for the Order of INAR($q$) Model. (2021). Communications in Mathematical Research, 32(4), 325-331. https://doi.org/10.13447/j.1674-5647.2016.04.04