Integer-valued moving average (INMA) process |
| |
Authors: | M Al-Osh A A Alzaid |
| |
Institution: | 1. Department of Statistics College of Science, King Saud University, P. O. Box 2455, 11451, Riyadh, Saudi Arabia
|
| |
Abstract: | A simple model for a stationary sequence of dependent integer-valued random variables {Xn} is given. The sequence to be called integer-valued moving average (INMA) process, is taken as the “survivals” of i.i.d.
non-negative integervalued random variables. It is argued that the model’s structure reflects to some extent the mechanism
generating real life data for many counting process and consequently it is useful for modelling such processes. Various properties
for the special case in which {Xn} is Poisson INMA (1) process, such as the joint distribution, regression, time reversibility, along with the conditional
and partial correlations, are discussed in details. Extension of the INMA of first order to higher order moving average is
considered. |
| |
Keywords: | Integer-valued moving average process Poisson INMA (1) regression reversibility conditional and partial correlations |
本文献已被 SpringerLink 等数据库收录! |
|