Noise-indicator nonnegative integer-valued autoregressive time series of the first order
Само за регистроване кориснике
2018
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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.
Кључне речи:
Noise-indicator / power series distribution / NIINAR(1) process / parameters estimationИзвор:
Brazilian journal of probability and statistics, 2018, 32, 1, 147-171Издавач:
- Brazilian Statistical Association, Sao Paulo
Финансирање / пројекти:
- Нове информационе технологије за аналитичко одлучивање базиране на организацији експеримента и опсервацији и њихова примена у биолошким, економским и социолошким системима (RS-44007)
- Интердисциплинарно истраживање културног и језичког наслеђа Србије. Израда мултимедијалног интернет портала ""Појмовник српске културе"" (RS-47016)
DOI: 10.1214/16-BJPS335
ISSN: 0103-0752