首页 | 本学科首页   官方微博 | 高级检索  
     


A new class of INAR(1) model for count time series
Authors:M. Shirozhan
Affiliation:Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran
Abstract:The present work proposes a new integer valued autoregressive model with Poisson marginal distribution based on the mixing Pegram and dependent Bernoulli thinning operators. Properties of the model are discussed. We consider several methods for estimating the unknown parameters of the model. Also, the classical and Bayesian approaches are used for forecasting. Simulations are performed for the performance of these estimators and forecasting methods. Finally, the analysis of two real data has been presented for illustrative purposes.
Keywords:Dependent Bernoulli thinning operator  EM algorithm  thinning operator  mixture distribution and Pegram operator
相似文献(共20条):
[1]、Ana V. Miletić Ilić,Aleksandar S. Nastić,Hassan S. Bakouch.An INAR(1) model based on a mixed dependent and independent counting series[J].Journal of Statistical Computation and Simulation,2018,88(2):290-304.
[2]、Predrag M. Popović.A bivariate INAR(1) model with different thinning parameters[J].Statistical Papers,2016,57(2):517-538.
[3]、Meiju Yu,Dehui Wang,Kai Yang.A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning[J].Journal of the Korean Statistical Society,2019,48(2):248-264.
[4]、Christian H. Weiß.Simultaneous confidence regions for the parameters of a Poisson INAR(1) model[J].Statistical Methodology,2011,8(6):517-527.
[5]、Christian, H., Weiß.Fully observed INAR(1) processes[J].Journal of applied statistics,2012,39(3):581-598.
[6]、Mátyás Barczy,Márton Ispány,Gyula Pap,Manuel Scotto,Maria Eduarda Silva.Additive outliers in INAR(1) models[J].Statistical Papers,2012,53(4):935-949.
[7]、De Beer J.A time series model for cohort data[J].Journal of the American Statistical Association,1985,80(391):525-530.
[8]、A. E. Brockwell,N. H.,Chan, P. K. Lee.A class of models for aggregated traffic volume time series[J].Journal of the Royal Statistical Society. Series C, Applied statistics,2003,52(4):417-430.
[9]、Shimin Li,Shaochen Wang.Large and moderate deviations for the total population in the nearly unstable INAR(1) model[J].统计学通讯:理论与方法,2018,47(7):1718-1730.
[10]、Wagner Barreto-Souza,Marcelo Bourguignon.A skew INAR(1) process on {\mathbb {Z}}[J].AStA Advances in Statistical Analysis,2015,99(2):189-208.
[11]、Maria DeYoreo,Athanasios Kottas.A Bayesian nonparametric Markovian model for non-stationary time series[J].Statistics and Computing,2017,27(6):1525-1538.
[12]、A note on influence diagnostics in AR(1) time series models[J].Journal of statistical planning and inference
[13]、B. Abraham,Ch E. Minder.A time series model with random coefficients[J].统计学通讯:理论与方法,2013,42(12):1381-1391.
[14]、Josemar Rodrigues,Manoel Santos-Neto,N. Balakrishnan.Fractional approaches for the distribution of innovation sequence of INAR(1) processes[J].统计学通讯:理论与方法,2020,49(9):2205-2216.
[15]、Haixiang Zhang.Inference for Random Coefficient INAR(1) Process Based on Frequency Domain Analysis[J].统计学通讯:模拟与计算,2015,44(4):1078-1100.
[16]、Autoregressiv model identification for multivariate time series[J].Journal of Statistical Computation and Simulation
[17]、A class of count models and a new consistent test for the Poisson distribution[J].Journal of statistical planning and inference
[18]、G., E., Salcedo,R., F., Porto,S., Y., Roa,F., R., Momo.A wavelet-based time-varying autoregressive model for non-stationary and irregular time series[J].Journal of applied statistics,2012,39(11):2313-2325.
[19]、YouSung Park,Chan Wook Oh.Some asymptotic properties in INAR(1) processes with Poisson marginals[J].Statistical Papers,1997,38(3):287-302.
[20]、John W. Lau,Mike K. P. So.A Monte Carlo Markov chain algorithm for a class of mixture time series models[J].Statistics and Computing,2011,21(1):69-81.
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号