Bayesian Estimation for the Order of INAR(q) Mo del |
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| Institution: | School of Mathematics, Jilin University, Changchun, 130012 |
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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 es-timator 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. |
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| Keywords: | INAR(q) model Bayesian estimation squared-error loss function con-sistency |
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