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Noise-indicator nonnegative integer-valued autoregressive time series of the first order

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2018
Authors
Stojanović, Vladica
Ranđelović, Dragan
Kuk, Kristijan
Article (Published version)
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Abstract
This paper presents a modification and, at the same time, a generalization of the linear first order nonnegative integer-valued autoregressive processes, well-known as INAR(1) processes. By using the so-called Noise-Indicator, a nonlinear model with the threshold regime and with more complex structure than the appropriate linear models was obtained. The new model, named NIINAR(1) process, has been investigated in terms of the most general, the power series distribution of its innovations. Basic stochastic properties of the NIINAR(1) model (e.g., correlation structure, over-dispersion conditions and distributional properties) are given. Also, besides of some standard parameters estimators, a novel estimation techniques, together with the asymptotic properties of the obtained estimates is described. At last, a Monte Carlo study of this process is also given, as well as its application in the analysis of dynamics of two empirical dataset.
Keywords:
Noise-indicator / power series distribution / NIINAR(1) process / parameters estimation
Source:
Brazilian journal of probability and statistics, 2018, 32, 1, 147-171
Publisher:
  • Brazilian Statistical Association, Sao Paulo
Projects:
  • New Information Technologies for Analytical Decision Making Based on Experiment Observation and their Application in Biological, Economic and Sociological Systems (RS-44007)
  • Interdisciplinary research of Serbian cultural and linguistic heritage. Creation of multimedial Internet portal “The Lexicon of Serbian Culture” (RS-47016)

DOI: 10.1214/16-BJPS335

ISSN: 0103-0752

WoS: 000427678700007

Scopus: 2-s2.0-85045530235
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URI
http://jakov.kpu.edu.rs/handle/123456789/846
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