Some geometric mixed integer-valued autoregressive (INAR) models
AbstractIn this paper, we introduce some mixed integer-valued autoregressive models of orders 1 and 2 with geometric marginal distributions, denoted by MGINAR(1) and MGINAR(2), using a mixture of the well-known binomial and the negative binomial thinning. The distributions of the innovation processes are derived and several properties of the model are discussed. Conditional least squares and Yule–Walker estimators are obtained, and some numerical results of the estimations are presented. A real-life data example is investigated to assess the performance of the models.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 82 (2012)
Issue (Month): 4 ()
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