Efficient parameter estimation for independent and INAR(1) negative binomial samples |
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Authors: | V Savani A A Zhigljavsky |
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Institution: | (1) Department of Mathematics, Cardiff University, Senghennydd Road, Cardiff, CF24 4AG, UK |
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Abstract: | We consider moment based estimation methods for estimating parameters of the negative binomial distribution that are almost
as efficient as maximum likelihood estimation and far superior to the celebrated zero term method and the standard method
of moments estimator. Maximum likelihood estimators are difficult to compute for dependent samples such as samples generated
from the negative binomial first-order autoregressive integer-valued processes. The power method of estimation is suggested
as an alternative to maximum likelihood estimation for such samples and a comparison is made of the asymptotic normalized
variance between the power method, method of moments and zero term method estimators. |
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Keywords: | Negative binomial distribution Maximum likelihood Method of moments Efficiency of estimators INAR(1) process |
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