A parametric study for the first-order signed integer-valued autoregressive process

被引：11
作者：
Christophe Chesneau
Maher Kachour
机构：
[1] Laboratoire de Mathematiques Nicolas Oresme, Université de Caen Basse-Normandie, Campus II
[2] École Supérienre de Commerce IDRAC, Lyon
来源：
Journal of Statistical Theory and Practice | 2012年 / 6卷 / 4期
关键词：
INAR models; Integer-valued time series; Rademacher (p)-N class; SINAR models; Skellam distribution;
D O I：
10.1080/15598608.2012.719816
中图分类号：
学科分类号：
摘要：
In recent years, many attempts have been made to find accurate models for integer- valued times series. The SINAR (for Signed INteger-valued AutoRegressive) process is one of the most interesting. Indeed, the SINAR model allows negative values both for the series and its autocorrelation function. In this paper, we focus on the simplest SINAR(1) model under some parametric assumptions. Explicitly, we give an implicit form of the stationary distribution for a known innovation. Simulation experiments and analysis of real data sets are carried out to attest to the model's performance. Copyright © Grace Scientific Publishing, LLC.
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页码：760 / 782
页数：22
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