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A new INAR model based on Poisson-BE2 innovations

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  • Jiayue Zhang
  • Fukang Zhu
  • Naushad Mamode Khan

Abstract

In this paper, two-parameter Poisson binomial-exponential 2 (PBE2) distribution is firstly reviewed, then a new integer-valued autoregressive (INAR) model with PBE2 innovations is proposed. The definition and statistical properties of the proposed model are given, including the mean, variance, covariance, strict stationarity and ergodicity. Two-step conditional least squares and conditional maximum likelihood estimation methods are considered to estimate the parameters. To assess the proposed model, a crime data set is analyzed and a comparison with other competing INAR models is given, which shows that the proposed model yields a better performance.

Suggested Citation

  • Jiayue Zhang & Fukang Zhu & Naushad Mamode Khan, 2023. "A new INAR model based on Poisson-BE2 innovations," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(17), pages 6063-6077, September.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:17:p:6063-6077
    DOI: 10.1080/03610926.2021.2024571
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