Integer-valued self-exciting threshold autoregressive processes

Detalhes bibliográficos
Autor(a) principal: Monteiro, M.
Data de Publicação: 2012
Outros Autores: Scotto, M.G., Pereira, I.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10773/9303
Resumo: In this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the least squares-type and likelihood-based ones. Their performance is compared through a simulation study. Copyright © 2012 Taylor and Francis Group, LLC.
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spelling Integer-valued self-exciting threshold autoregressive processesBinomial thinningCount processesThreshold modelsIn this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the least squares-type and likelihood-based ones. Their performance is compared through a simulation study. Copyright © 2012 Taylor and Francis Group, LLC.Taylor & Francis2012-11-13T11:55:45Z2012-06-19T00:00:00Z2012-06-19info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10773/9303eng0361-092610.1080/03610926.2011.556292Monteiro, M.Scotto, M.G.Pereira, I.info: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:RCAAP2024-02-22T11:15:13Zoai:ria.ua.pt:10773/9303Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T02:45:55.114854Repositório 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 Integer-valued self-exciting threshold autoregressive processes
title Integer-valued self-exciting threshold autoregressive processes
spellingShingle Integer-valued self-exciting threshold autoregressive processes
Monteiro, M.
Binomial thinning
Count processes
Threshold models
title_short Integer-valued self-exciting threshold autoregressive processes
title_full Integer-valued self-exciting threshold autoregressive processes
title_fullStr Integer-valued self-exciting threshold autoregressive processes
title_full_unstemmed Integer-valued self-exciting threshold autoregressive processes
title_sort Integer-valued self-exciting threshold autoregressive processes
author Monteiro, M.
author_facet Monteiro, M.
Scotto, M.G.
Pereira, I.
author_role author
author2 Scotto, M.G.
Pereira, I.
author2_role author
author
dc.contributor.author.fl_str_mv Monteiro, M.
Scotto, M.G.
Pereira, I.
dc.subject.por.fl_str_mv Binomial thinning
Count processes
Threshold models
topic Binomial thinning
Count processes
Threshold models
description In this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the least squares-type and likelihood-based ones. Their performance is compared through a simulation study. Copyright © 2012 Taylor and Francis Group, LLC.
publishDate 2012
dc.date.none.fl_str_mv 2012-11-13T11:55:45Z
2012-06-19T00:00:00Z
2012-06-19
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/10773/9303
url http://hdl.handle.net/10773/9303
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0361-0926
10.1080/03610926.2011.556292
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor & Francis
publisher.none.fl_str_mv Taylor & Francis
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
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