A combined geometric INAR(p) model based on negative binomial thinning

作者：Nastic Aleksandar S; Ristic Miroslav M^*; Bakouch Hassan S

来源：Mathematical and Computer Modelling, 2012, 55(5-6): 1665-1672.

DOI：10.1016/j.mcm.2011.10.080

• INAR(p) models
• Negative binomial thinning
• Geometric marginal distribution
• Estimation
• Strictly stationary
• Ergodicity

In this paper, we introduce a new (combined) integer-valued autoregressive model of order p with geometric marginal distributions, denoted by CGINAR(p), using the negative binomial thinning introduced by Ristic et al. [19]. Several properties of the model are constructed and discussed, including one-step ahead conditional statistical measures. Some methods for estimating the model parameters are considered and the asymptotic properties of the obtained estimators are derived. A real-life data example is investigated to assess the performance of the model.

• 出版日期2012-3