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Integer Valued AR(1) with Geometric Innovations
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نویسنده
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Aghababaei Jazi Mansour ,Jones Geoff ,Lai Chin-Diew
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منبع
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journal of the iranian statistical society - 2012 - دوره : 11 - شماره : 2 - صفحه:173 -190
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چکیده
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The classical integer valued first-order autoregressive (ina- r(1)) model has been defined on the basis of poisson innovations. this model has poisson marginal distribution and is suitable for modeling equidispersed count data. in this paper, we introduce an modification of the inar(1) model with geometric innovations (inarg(1)) for model- ing overdispersed count data. we discuss some structural mathematical properties of the process comparing with classical inar(1). also, the superiority of the model in contrast with the inar(1) is shown by some real time series
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کلیدواژه
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Binomial thinning operator ,conditional maximum likeli- hood estimation ,infinitely divisible distributions ,mixture distributions
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آدرس
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university of sistan and baluchestan, Faculty of Mathematics, ایران, Massey University, Institute of Fundamental Sciences, New Zealand, Massey University, Institute of Fundamental Sciences, New Zealand
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پست الکترونیکی
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c.lai@massey.ac.nz
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Authors
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