Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/15019
Title: | Integer-valued self-exciting periodic threshold autoregressive processes |
Author: | Pereira, Isabel Scotto, Manuel Nicolette, Raquel |
Keywords: | Count processes Binomial thinning Threshold models |
Issue Date: | 2015 |
Publisher: | Departamento de Matemática da Universidade de Coimbra |
Abstract: | In this paper, the periodic self-exciting threshold integer-valued autoregressive model of order one with period $T$ driven by a periodic sequence of independent Poisson-distributed random variables is introduced and analyzed in detail. Basic probabilistic and statistical properties of the model are discussed as well as parameter estimation and forecasting. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/15019 |
Publisher Version: | http://www.mat.uc.pt/~textos/index.php/TM/index |
Appears in Collections: | CIDMA - Artigos PSG - Artigos |
Files in This Item:
File | Description | Size | Format | |
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TM_DMUC_2015.pdf | Main article | 429.45 kB | Adobe PDF | View/Open |
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