Generalized Poisson Difference Autoregressive Processes
Methodology
2020-02-12 v1 Econometrics
Abstract
This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and exploit the thinning representation to derive stationarity conditions and the stationary distribution of the process. We provide a Bayesian inference method and an efficient posterior approximation procedure based on Monte Carlo. Numerical illustrations on both simulated and real data show the effectiveness of the proposed inference.
Cite
@article{arxiv.2002.04470,
title = {Generalized Poisson Difference Autoregressive Processes},
author = {Giulia Carallo and Roberto Casarin and Christian P. Robert},
journal= {arXiv preprint arXiv:2002.04470},
year = {2020}
}