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A threshold modeling for nonlinear time series of counts: application to COVID-19 data

Author

Listed:
  • Nisreen Shamma

    (University of Mazandaran)

  • Mehrnaz Mohammadpour

    (University of Mazandaran)

  • Masoumeh Shirozhan

    (Mazandaran Province)

Abstract

This article studies a threshold autoregressive model with the dependent thinning structure for modeling nonlinear time series of counts. Some properties are derived for the model and two approaches in estimation are applied, the modified conditional least square and conditional maximum likelihood methods which are adjusted by the Min-Min algorithm. The unknown threshold parameter is estimated using the nested sub-sample search algorithm and the minimum of maximized log-likelihood function methods. The efficiency of the estimators is evaluated using a simulation study. The application of the model is discussed on the COVID-19 data set.

Suggested Citation

  • Nisreen Shamma & Mehrnaz Mohammadpour & Masoumeh Shirozhan, 2023. "A threshold modeling for nonlinear time series of counts: application to COVID-19 data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(4), pages 1195-1229, December.
    • Handle: RePEc:spr:testjl:v:32:y:2023:i:4:d:10.1007_s11749-023-00869-8
    DOI: 10.1007/s11749-023-00869-8
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    References listed on IDEAS

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