Poisson–geometric INAR(1) process for modeling count time series with overdispersion

• Autor(a) principal: Bourguignon, Marcelo
• Data de Publicação: 2016
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional da UFRN
• Texto Completo: https://repositorio.ufrn.br/handle/123456789/49654
• topic: Poisson distribution; Geometric distribution; Integer-valued time series; Estimation; Asymptotic normality

In this paper, we propose a new first-order non-negative integervalued autoregressive [INAR(1)] process with Poisson–geometric marginals based on binomial thinning for modeling integer-valued time series with overdispersion. Also, the new process has, as a particular case, the Poisson INAR(1) and geometric INAR(1) processes. The main properties of the model are derived, such as probability generating function, moments, conditional distribution, higher-order moments, and jumps. Estimators for the parameters of process are proposed, and their asymptotic properties are established. Some numerical results of the estimators are presented with a discussion of the obtained results. Applications to two real data sets are given to show the potentiality of the new process.