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Estimation of the Intercept Parameter in Integrated Galton–Watson Processes

Yang Lu

Journal of Time Series Analysis2026https://doi.org/10.1111/jtsa.70062article
AJG 3ABDC A
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0.50

Abstract

We study the estimation of the intercept parameter in an integrated Galton–Watson process, an important building block for many count‐valued time series models. In this unit root setting, the ordinary least squares estimator is known to be inconsistent, whereas the existing weighted least squares (WLS) estimator is consistent only in the case where the process is transient, a condition that depends on the unknown intercept parameter. We propose an alternative WLS estimator based on the new weight function of , and show that it is consistent regardless of whether the process is transient or null recurrent, with a common convergence rate of .

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https://doi.org/https://doi.org/10.1111/jtsa.70062

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@article{yang2026,
  title        = {{Estimation of the Intercept Parameter in Integrated Galton–Watson Processes}},
  author       = {Yang Lu},
  journal      = {Journal of Time Series Analysis},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1111/jtsa.70062},
}

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Estimation of the Intercept Parameter in Integrated Galton–Watson Processes

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