Estimation and forecasting in SUINAR(1) model

Detalhes bibliográficos
Autor(a) principal: Silva, N
Data de Publicação: 2008
Outros Autores: Pereira, I, Silva, ME
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10773/4429
Resumo: This work considers a generalization of the INAR(1) model to the panel data first order Seemingly Unrelated INteger AutoRegressive Poisson model, SUINAR(1). It presents Bayesian and classical methodologies to estimate the parameters of Poisson SUINAR(1) model and to forecast future observations of the process. In particular, prediction intervals for forecasts - classical approach - and HPD prediction intervals - Bayesian approach - are derived. A simulation study is provided to give additional insight into the finite sample behaviour of the parameter estimates and forecasts.
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spelling Estimation and forecasting in SUINAR(1) modelforecastsGibbs samplingINAR modepanel dataThis work considers a generalization of the INAR(1) model to the panel data first order Seemingly Unrelated INteger AutoRegressive Poisson model, SUINAR(1). It presents Bayesian and classical methodologies to estimate the parameters of Poisson SUINAR(1) model and to forecast future observations of the process. In particular, prediction intervals for forecasts - classical approach - and HPD prediction intervals - Bayesian approach - are derived. A simulation study is provided to give additional insight into the finite sample behaviour of the parameter estimates and forecasts.Instituto Nacional de Estatística2011-11-28T15:48:29Z2008-01-01T00:00:00Z2008info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10773/4429eng1645-6726Silva, NPereira, ISilva, MEinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-22T11:04:54Zoai:ria.ua.pt:10773/4429Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:42:21.097314Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Estimation and forecasting in SUINAR(1) model
title Estimation and forecasting in SUINAR(1) model
spellingShingle Estimation and forecasting in SUINAR(1) model
Silva, N
forecasts
Gibbs sampling
INAR mode
panel data
title_short Estimation and forecasting in SUINAR(1) model
title_full Estimation and forecasting in SUINAR(1) model
title_fullStr Estimation and forecasting in SUINAR(1) model
title_full_unstemmed Estimation and forecasting in SUINAR(1) model
title_sort Estimation and forecasting in SUINAR(1) model
author Silva, N
author_facet Silva, N
Pereira, I
Silva, ME
author_role author
author2 Pereira, I
Silva, ME
author2_role author
author
dc.contributor.author.fl_str_mv Silva, N
Pereira, I
Silva, ME
dc.subject.por.fl_str_mv forecasts
Gibbs sampling
INAR mode
panel data
topic forecasts
Gibbs sampling
INAR mode
panel data
description This work considers a generalization of the INAR(1) model to the panel data first order Seemingly Unrelated INteger AutoRegressive Poisson model, SUINAR(1). It presents Bayesian and classical methodologies to estimate the parameters of Poisson SUINAR(1) model and to forecast future observations of the process. In particular, prediction intervals for forecasts - classical approach - and HPD prediction intervals - Bayesian approach - are derived. A simulation study is provided to give additional insight into the finite sample behaviour of the parameter estimates and forecasts.
publishDate 2008
dc.date.none.fl_str_mv 2008-01-01T00:00:00Z
2008
2011-11-28T15:48:29Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10773/4429
url http://hdl.handle.net/10773/4429
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1645-6726
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Nacional de Estatística
publisher.none.fl_str_mv Instituto Nacional de Estatística
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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