A new skew integer valued time series process

作者：Bourguignon Marcelo^*; Vasconcellos Klaus L P

来源：Statistical Methodology, 2016, 31: 8-19.

DOI：10.1016/j.stamet.2016.01.002

• INAR(1) process
• Integer-valued time series
• Thinning operator
• Yule-Walker estimator

In this paper,,we introduce a. stationary first-order integer-valued autoregressive process with geometric-Poisson marginals. The new process allows negative, values for the series. Several properties of the process are established; The unknown parameters of the model are estimated using the Yule-Walker Method and the asymptotic properties of the estimator are considered. Some numerical results of the estimators are presented with a brief discussion. Possible application of the process is discussed through a real data example.

• 出版日期2016-7