A new INARMA(1, 1) model with Poisson marginals
Methodology
2019-10-17 v1
Abstract
We suggest an INARMA(1, 1) model with Poisson marginals which extends the INAR(1) in a similar way as the INGARCH(1, 1) does for the INARCH(1) model. The new model is equivalent to a binomially thinned INAR(1) process. This allows us to obtain some of its stochastic properties and use inference methods for hidden Markov models. The model is compared to various other models in two case studies.
Keywords
Cite
@article{arxiv.1910.07244,
title = {A new INARMA(1, 1) model with Poisson marginals},
author = {Johannes Bracher},
journal= {arXiv preprint arXiv:1910.07244},
year = {2019}
}
Comments
This is a pre-print (submitted version before peer review) of a contribution in Steland, A., Rafajlowicz, E., Okhrin, O. (Eds.): Stochastic Models, Statistics and Their Applications, p. 323-333, published by Springer Nature Switzerland, 2019. The final authenticated version is available at https://doi.org/10.1007/978-3-030-28665-1_24