An integer-valued threshold autoregressive process based on negative binomial thinning

作者：Yang, Kai; Wang, Dehui^*; Jia, Boting; Li, Han

来源：Statistical Papers, 2018, 59(3): 1131-1160.

DOI：10.1007/s00362-016-0808-1

• Integer-valued thresholdmodels
• Min-Min algorithm
• Negative binomial
• thinning
• Estimation

In this paper, we introduce an integer-valued threshold autoregressive process, which is driven by independent negative-binomial distributed random variables and based on negative binomial thinning. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators and corresponding iterative algorithms are investigated for both the cases that the threshold variable is known or not. Also, the asymptotic properties of the estimators are obtained. Finally, some numerical results of the estimates and a real data example are presented.

• 出版日期2018-9
• 单位吉林大学