The max-BARMA models for counts with bounded support

Detalhes bibliográficos
Autor(a) principal: Weiß, Christian H.
Data de Publicação: 2018
Outros Autores: Scotto, Manuel G., Möller, Tobias A., Gouveia, Sónia
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10773/24478
Resumo: In this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis & Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic probabilistic and statistical properties of this new class of models are discussed in detail, namely the existence of a stationary distribution, and how observations’ and innovations’ distributions are related to each other. Furthermore, parameter estimation is also addressed.
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spelling The max-BARMA models for counts with bounded supportThinning operatorAutoregressive moving-average processesFinite countsIn this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis & Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic probabilistic and statistical properties of this new class of models are discussed in detail, namely the existence of a stationary distribution, and how observations’ and innovations’ distributions are related to each other. Furthermore, parameter estimation is also addressed.Elsevier2019-12-01T00:00:00Z2018-12-01T00:00:00Z2018-12info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10773/24478eng0167-715210.1016/j.spl.2018.07.011Weiß, Christian H.Scotto, Manuel G.Möller, Tobias A.Gouveia, Sóniainfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-02-22T11:47:55Zoai:ria.ua.pt:10773/24478Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:58:05.625325Repositório 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 The max-BARMA models for counts with bounded support
title The max-BARMA models for counts with bounded support
spellingShingle The max-BARMA models for counts with bounded support
Weiß, Christian H.
Thinning operator
Autoregressive moving-average processes
Finite counts
title_short The max-BARMA models for counts with bounded support
title_full The max-BARMA models for counts with bounded support
title_fullStr The max-BARMA models for counts with bounded support
title_full_unstemmed The max-BARMA models for counts with bounded support
title_sort The max-BARMA models for counts with bounded support
author Weiß, Christian H.
author_facet Weiß, Christian H.
Scotto, Manuel G.
Möller, Tobias A.
Gouveia, Sónia
author_role author
author2 Scotto, Manuel G.
Möller, Tobias A.
Gouveia, Sónia
author2_role author
author
author
dc.contributor.author.fl_str_mv Weiß, Christian H.
Scotto, Manuel G.
Möller, Tobias A.
Gouveia, Sónia
dc.subject.por.fl_str_mv Thinning operator
Autoregressive moving-average processes
Finite counts
topic Thinning operator
Autoregressive moving-average processes
Finite counts
description In this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis & Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic probabilistic and statistical properties of this new class of models are discussed in detail, namely the existence of a stationary distribution, and how observations’ and innovations’ distributions are related to each other. Furthermore, parameter estimation is also addressed.
publishDate 2018
dc.date.none.fl_str_mv 2018-12-01T00:00:00Z
2018-12
2019-12-01T00:00:00Z
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/10773/24478
url http://hdl.handle.net/10773/24478
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0167-7152
10.1016/j.spl.2018.07.011
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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