Self-exciting threshold models for time series of counts with a finite range |
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Authors: | Tobias A Möller |
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Institution: | Department of Mathematics and Statistics, Helmut Schmidt University, Hamburg, Germany |
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Abstract: | In this article, an integer-valued self-exciting threshold model with a finite range based on the binomial INARCH(1) model is proposed. Important stochastic properties are derived, and approaches for parameter estimation are discussed. A real-data example about the regional spread of public drunkenness in Pittsburgh demonstrates the applicability of the new model in comparison to existing models. Feasible modifications of the model are presented, which are designed to handle special features such as zero-inflation. |
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Keywords: | Binomial INARCH(1) model count data time series parameter estimation self-exciting threshold zero-inflation |
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