Testing for Poisson arrivals in INAR(1) processes

• Sebastian Schweer ^[2] ; Christian H. Weiß ^[1]
  1. [1] Helmut Schmidt University

     Helmut Schmidt University

     Hamburg, Freie und Hansestadt, Alemania

     
  2. [2] University of Heidelberg
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 25, Nº. 3, 2016, págs. 503-524
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • In the framework of integer-valued autoregressive processes of order 1 [INAR(1)], two new tests for the null hypothesis of Poisson-distributed innovations are developed. The tests focus on time reversibility, as this feature is shown to be satisfied exclusively by Poisson INAR(1) processes. The necessary asymptotic variances are explicitly calculated using the joint cumulants of these processes. The finite-sample behavior of the test statistics and the power of the tests are investigated in a simulation study. The results show that the newly developed tests perform better than existing ones in certain situations.