Generalized Poisson integer-valued autoregressive processes with structural changes
© 2021 Informa UK Limited, trading as Taylor & Francis Group.
| Veröffentlicht in: | Journal of applied statistics. - 1991. - 49(2022), 11 vom: 22., Seite 2717-2739 |
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| Weitere Verfasser: | , , , |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2022
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| Zugriff auf das übergeordnete Werk: | Journal of applied statistics |
| Schlagworte: | Journal Article Structural changes INAR models binomial thinning generalized poisson distribution moments targeting estimation non-stationary process |
| Zusammenfassung: | © 2021 Informa UK Limited, trading as Taylor & Francis Group. In this paper, we introduce a new first-order generalized Poisson integer-valued autoregressive process, for modeling integer-valued time series exhibiting a piecewise structure and overdispersion. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators are derived. The asymptotic properties of the estimators are established. Moreover, two special cases of the process are discussed. Finally, some numerical results of the estimates and a real data example are presented |
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| Beschreibung: | Date Revised 01.08.2022 published: Electronic-eCollection Citation Status PubMed-not-MEDLINE |
| ISSN: | 0266-4763 |
| DOI: | 10.1080/02664763.2021.1915255 |