Bernoulli

• Bernoulli
• Volume 25, Number 3 (2019), 2359-2408.

Bootstrapping INAR models

Abstract

Integer-valued autoregressive (INAR) models form a very useful class of processes to deal with time series of counts. Statistical inference in these models is commonly based on asymptotic theory, which is available only under additional parametric conditions and further restrictions on the model order. For general INAR models, such results are not available and might be cumbersome to derive. Hence, we investigate how the INAR model structure and, in particular, its similarity to classical autoregressive (AR) processes can be exploited to develop an asymptotically valid bootstrap procedure for INAR models. Although, in a common formulation, INAR models share the autocorrelation structure with AR models, it turns out that (a) consistent estimation of the INAR coefficients is not sufficient to compute proper ‘INAR residuals’ to formulate a valid model-based bootstrap scheme, and (b) a naïve application of an AR bootstrap will generally fail. Instead, we propose a general INAR-type bootstrap procedure and discuss parametric as well as semi-parametric implementations. The latter approach is based on a joint semi-parametric estimator of the INAR coefficients and the innovations’ distribution. Under mild regularity conditions, we prove bootstrap consistency of our procedure for statistics belonging to the class of functions of generalized means. In an extensive simulation study, we provide numerical evidence of our theoretical findings and illustrate the superiority of the proposed INAR bootstrap over some obvious competitors. We illustrate our method by an application to a real data set about iceberg orders for the Lufthansa stock.

Article information

Source
Bernoulli, Volume 25, Number 3 (2019), 2359-2408.

Dates
Revised: March 2018
First available in Project Euclid: 12 June 2019

Permanent link to this document
https://projecteuclid.org/euclid.bj/1560326448

Digital Object Identifier
doi:10.3150/18-BEJ1057

Mathematical Reviews number (MathSciNet)
MR3961251

Zentralblatt MATH identifier
07066260

Citation

Jentsch, Carsten; Weiß, Christian H. Bootstrapping INAR models. Bernoulli 25 (2019), no. 3, 2359--2408. doi:10.3150/18-BEJ1057. https://projecteuclid.org/euclid.bj/1560326448

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Supplemental materials

• Supplement to “Bootstrapping INAR models”. We provide the full simulation results for Section 4.