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The combined INAR(p) models for time series of counts

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  • Weiß, Christian H.

Abstract

A new AR(p) model for time series of counts is investigated, the possible marginal distributions of which are those of the DSD family. We determine the autocorrelation structure of the whole model family and analyze two important special cases. A real-data example demonstrates the practical relevance of the new model family.

Suggested Citation

  • Weiß, Christian H., 2008. "The combined INAR(p) models for time series of counts," Statistics & Probability Letters, Elsevier, vol. 78(13), pages 1817-1822, September.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:13:p:1817-1822
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    References listed on IDEAS

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    1. Rong Zhu & Harry Joe, 2006. "Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(5), pages 725-738, September.
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    Cited by:

    1. Miroslav M. Ristić & Aleksandar S. Nastić & Ana V. Miletić Ilić, 2013. "A geometric time series model with dependent Bernoulli counting series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 466-476, July.
    2. Aleksandar S. Nastić & Petra N. Laketa & Miroslav M. Ristić, 2016. "Random environment integer-valued autoregressive process," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(2), pages 267-287, March.
    3. Yousung Park & Hee-Young Kim, 2012. "Diagnostic checks for integer-valued autoregressive models using expected residuals," Statistical Papers, Springer, vol. 53(4), pages 951-970, November.
    4. Christian H. Weiß, 2013. "Integer-valued autoregressive models for counts showing underdispersion," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(9), pages 1931-1948, September.
    5. Kirchner, Matthias & Torrisi, Giovanni Luca, 2023. "Fluctuations and precise deviations of cumulative INAR time series," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 1-32.
    6. Nastić, Aleksandar S. & Ristić, Miroslav M., 2012. "Some geometric mixed integer-valued autoregressive (INAR) models," Statistics & Probability Letters, Elsevier, vol. 82(4), pages 805-811.

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