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Exact Likelihood Estimation and Probabilistic Forecasting in Higher-order INAR(p) Models

Lu, Yang (2018): Exact Likelihood Estimation and Probabilistic Forecasting in Higher-order INAR(p) Models.

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Abstract

The computation of the likelihood function and the term structure of probabilistic forecasts in higher-order INAR(p) models are qualified numerically intractable and the literature has considered various approximations. Using the notion of compound autoregressive process, we propose an exact and fast algorithm for both quantities. We find that existing approximation schemes induce significant errors for forecasting.

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