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Title: Poisson–geometric INAR(1) process for modeling count time series with overdispersion
Authors: Bourguignon, Marcelo
Keywords: Poisson distribution;Geometric distribution;Integer-valued time series;Estimation;Asymptotic normality
Issue Date: 2016
Publisher: Statistica Neerlandica
Citation: BOURGUIGNON, Marcelo. Poisson-geometric INAR(1) process for modeling count time series with overdispersion. Statistica Neerlandica, v. 70, p. 176-192, 2016. Disponível em:<>. Acesso em: 07 dez. 2017
Portuguese Abstract: In this paper, we propose a new first-order non-negative integervalued autoregressive [INAR(1)] process with Poisson–geometric marginals based on binomial thinning for modeling integer-valued time series with overdispersion. Also, the new process has, as a particular case, the Poisson INAR(1) and geometric INAR(1) processes. The main properties of the model are derived, such as probability generating function, moments, conditional distribution, higher-order moments, and jumps. Estimators for the parameters of process are proposed, and their asymptotic properties are established. Some numerical results of the estimators are presented with a discussion of the obtained results. Applications to two real data sets are given to show the potentiality of the new process.
ISSN: 0039-0402
Appears in Collections:CCET - DEST - Artigos publicados em periódicos

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