Journal
JOURNAL OF TIME SERIES ANALYSIS
Volume 33, Issue 6, Pages 903-915Publisher
WILEY-BLACKWELL
DOI: 10.1111/j.1467-9892.2012.00806.x
Keywords
INAR(p) models; Binomial thinning; Negative binomial thinning; Geometric marginal distribution
Funding
- MNTR [174013]
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A mixed integer-valued autoregressive model of order p is proposed. The existence of this unique, stationary and ergodic process is proved and its autocorrelation structure and some conditional stochastic characteristics are derived. Model parameters are estimated via Yule-Walker, conditional least squares and conditional maximum likelihood methods. Finally, possible application of the model to real data sets is considered.
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