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The Combined Poisson INMA(q) Models for Time Series of Counts

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  • Kaizhi Yu
  • Hong Zou

Abstract

A new stationary qth‐order integer‐valued moving average process with Poisson innovation is introduced based on decision random vector. Some statistical properties of the process are established. Estimators of the parameters of the process are obtained using the method of moments. Some numerical results of the estimators are presented to assess the performance of moment estimators.

Suggested Citation

  • Kaizhi Yu & Hong Zou, 2015. "The Combined Poisson INMA(q) Models for Time Series of Counts," Journal of Applied Mathematics, John Wiley & Sons, vol. 2015(1).
    • Handle: RePEc:wly:jnljam:v:2015:y:2015:i:1:n:457842
    DOI: 10.1155/2015/457842
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    References listed on IDEAS

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    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. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer‐Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
    3. 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.
    4. 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, May.
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