A new integer-valued AR(1) process based on power series thinning operator
Applications
2018-10-08 v2
Abstract
In this paper, we introduce the first-order integer-valued autoregressive (INAR(1)) model, with Poisson-Lindley innovations based on power series thinning operator. Some mathematical features of this process are given and estimating the parameters is discussed by three methods; conditional least squares, Yule-Walker equations and conditional maximum likelihood.Then the results are studied for three special cases of power series operators. Finally, some numerical results are presented with a discussion to the obtained results and Four real data sets are used to show the potentially of the new process.
Cite
@article{arxiv.1802.00994,
title = {A new integer-valued AR(1) process based on power series thinning operator},
author = {Eisa Mahmoudi and Ameneh Rostami and Rasool Roozegar},
journal= {arXiv preprint arXiv:1802.00994},
year = {2018}
}