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Readme file
SERIES
B
 Statistical
Methodology
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued AR(p) models, F. C. Drost et al., pages 467–485
Description of the program:
The program, written for Matlab 7.5, calculates the nonparametric maximum likelihood estimates for the INAR(1) case. The program works as follows. The observations should be put in a vector S. Subsequently calling the routine by [theta_ML,g_ML]=NPMLE1(S) will give the maximum likelihood estimates as ouput. Please note that the first element of g_ML corresponds to the estimate of g(0).
Ramon van den Akker
Econometrics Group
CentER
Tilburg University
The Netherlands
E-mail: R.vdnAkker@TilburgUniversity.nl
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Journals
SERIES
A
Statistics
in Society
SERIES
B
Statistical
Methodology
SERIES C
Applied Statistics
SERIES D
The
Statistician
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