True integer value time series |
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Authors: | R Keith Freeland |
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Institution: | 1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Ontario, Canada, N2L 3G1
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Abstract: | We construct an integer-valued stationary symmetric AR(1) process which can have either a positive or a negative lag-one autocorrelation.
Nearly all integer-valued time series models are designed for observations which are non-negative integers or counts. They
have innovations which are distributed on the non-negative integers and therefore obviously non-symmetric. We build our model
using innovations that come from the difference of two independent identically distributed Poisson random variables. These
innovations have a symmetric distribution, which has many advantages; in particular, they will allow us to model negative
correlations. For our AR(1) process, we examine its basic properties and consider estimation via conditional least squares. |
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Keywords: | |
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