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Integer-valued autoregressive processes with periodic structure
Authors:Magda Monteiro  Manuel G Scotto  Isabel Pereira
Institution:1. Escola Superior de Tecnologia e Gestão de Águeda, Research Unit ‘Matemática e Aplicações’, Universidade de Aveiro, Portugal;2. Departamento de Matemática, Research Unit ‘Matemática e Aplicações’, Universidade de Aveiro, Campo Universitário de Santiago, 3810-193 Aveiro, Portugal
Abstract:In this paper the periodic integer-valued autoregressive model of order one with period T, driven by a periodic sequence of independent Poisson-distributed random variables, is studied in some detail. Basic probabilistic and statistical properties of this model are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the method of moments, least squares-type and likelihood-based ones. Their performance is compared through a simulation study.
Keywords:Count processes  Periodic autocovariances  Binomial thinning
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