CLAR(1) point forecasting under estimation uncertainty

Publication date
2020-05-24
Document type
Forschungsartikel
Author
Organisational unit
DOI
URI
Publisher
Wiley-Blackwell
Series or journal
Statistica Neerlandica
ISSN
Periodical volume
74
Periodical issue
4
First page
489
Last page
516
Is part of
Peer-reviewed
✅
Part of the university bibliography
✅
Language
English
Keyword
Count time series
Estimation uncertainty
Point forecasting
Poisson INAR(1) model
Abstract
Forecast error is not only caused by the randomness of the data‐generating process but also by the uncertainty due to estimated model parameters. We investigate these different sources of forecast error for a popular type of count process, the Poisson first‐order integer‐valued autoregressive (INAR(1)) process. However, many of our analytical derivations also hold for the more general family of conditional linear AR(1) (CLAR(1)) processes. In addition, results from a simulation study are presented, to verify and complement our asymptotic approximations.
Description
This is an open access article under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/).
Version
Published version
Access right on openHSU
Metadata only access