Semiparametric estimation of inar models using roughness penalization

HIGHLIGHTS

• who: Maxime Faymonville from the (UNIVERSITY) have published the research: Semiparametric estimation of INAR models using roughness penalization, in the Journal: (JOURNAL) of July/31,/2018
• what: To improve the estimation accuracy the authors propose a penalized version of the semiparametric estimation approach which exploits the fact that the is often considered to be smooth i.e. two consecutive entries of the PMF differ only slightly from each other. For the data-driven selection of the penalization parameter the authors propose two algorithms and evaluate their performance. The authors design the penalty term based on . . .
  

   

  

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