期刊
JOURNAL OF THE KOREAN STATISTICAL SOCIETY
卷 45, 期 2, 页码 260-275出版社
KOREAN STATISTICAL SOC
DOI: 10.1016/j.jkss.2015.11.002
关键词
Bivariate INAR(1) process; Parameter estimation; Probability generating function; Stationarity; Zero-truncated Poisson
资金
- National Natural Science Foundation of China [11271155, 11001105, 11071126, 11071269, 11301212, 11401146]
- Scientific Research Fund of Jilin University [201100011]
- Jilin Province Natural Science Foundation [20130101066JC, 20130522102JH, 20101596]
- China Postdoctoral Science Foundation [2014M550861]
In this paper, we propose a new stationary bivariate first order integer-valued autoregressive (BINAR(1)) process with zero truncated Poisson marginal distribution. Some properties about this process are considered, such as probability generating function, autocorrelations, expectations and covariance matrix under conditional and unconditional situation. We also establish the strict stationarity and ergodicity of the process. Estimators of unknown parameters are derived by using Yule-Walker, conditional least squares and maximum likelihood methods. The performance of the proposed estimation procedures are evaluated through Monte Carlo simulations. An application to a real data example is also provided. (C) 2016 Published by Elsevier B.V. on behalf of The Korean Statistical Society.
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