First-order random coefficient INAR process with dependent counting series

被引：5

作者：

Liu, Jie ^{[1
]}

Zhang, Haixiang ^{[1
]}

机构：

[1] Tianjin Univ, Ctr Appl Math, Tianjin, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2022年 / 51卷 / 06期

关键词：

Asymptotic property; Dependent counting series; INAR model; Random coefficient; Thinning operator; TIME-SERIES; EMPIRICAL LIKELIHOOD; INFERENCE; MODELS;

D O I：

10.1080/03610918.2020.1711950

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we propose a first-order random coefficient integer-valued autoregressive process with dependent counting series. Some moments and stationary ergodicity of the process are established. The maximum-likelihood estimators of the parameters of interest are presented. We conduct some simulation studies to assess the performance of our method. An example about crime data is provided for practical application.

引用

页码：3341 / 3354

页数：14

共 28 条

[1]

Al-Osh M.A., 1987, J TIME SER ANAL, V8, P261, DOI [10.1111/j.1467-9892.1987.tb00438.x, DOI 10.1111/J.1467-9892.1987.TB00438.X]

[2] A Zero-Inflated Geometric INAR(1) Process with Random Coefficient [J].

Bakouch, Hassan S. ;

Mohammadpour, Mehrnaz ;

Shirozhan, Masumeh .

APPLICATIONS OF MATHEMATICS, 2018, 63 (01) :79-105

[3] Zero truncated Poisson integer-valued AR(1) model [J].

Bakouch, Hassan S. ;

Ristic, Miroslav M. .

METRIKA, 2010, 72 (02) :265-280

[4] Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process [J].

Gomes, Dulce ;

Canto e Castro, Luisa .

JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2009, 139 (12) :4088-4097

[5] TIME-SERIES MODELS FOR COUNT OR QUALITATIVE OBSERVATIONS [J].

HARVEY, AC ;

FERNANDES, C .

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 1989, 7 (04) :407-417

[6] An INAR(1) model based on a mixed dependent and independent counting series [J].

Ilic, Ana V. Miletic ;

Ristic, Miroslav M. ;

Nastic, Aleksandar S. ;

Bakouch, Hassan S. .

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2018, 88 (02) :290-304

[7] A geometric time series model with a new dependent Bernoulli counting series [J].

Ilic, Ana V. Miletic .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2016, 45 (21) :6400-6415

[8] First-order integer valued AR processes with zero inflated poisson innovations [J].

Jazi, Mansour Aghababaei ;

Jones, Geoff ;

Lai, Chin-Diew .

JOURNAL OF TIME SERIES ANALYSIS, 2012, 33 (06) :954-963

[9] A BINAR(1) time-series model with cross-correlated COM-Poisson innovations [J].

Jowaheer, V. ;

Khan, N. Mamode ;

Sunecher, Y. .

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (05) :1133-1154

[10] First-order random coefficients integer-valued threshold autoregressive processes [J].

Li, Han ;

Yang, Kai ;

Zhao, Shishun ;

Wang, Dehui .

ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2018, 102 (03) :305-331

← 1 2 3 →