Some geometric mixed integer-valued autoregressive (INAR) models
In 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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 82 (2012)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 319-341, August.
- 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.
- Haitao Zheng & Ishwar V. Basawa & Somnath Datta, 2006. "Inference for pth-order random coefficient integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 411-440, 05.
- A. Alzaid & M. Al-Osh, 1993. "Some autoregressive moving average processes with generalized Poisson marginal distributions," Annals of the Institute of Statistical Mathematics, Springer, vol. 45(2), pages 223-232, June.
- 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, 09.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:82:y:2012:i:4:p:805-811. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.