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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
Publisher Version:
Appears in Collections:CIDMA - Artigos
CIDMA - Artigos
PSG - Artigos

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