Please use this identifier to cite or link to this item: http://hdl.handle.net/10773/16182
Title: Self-exciting threshold binomial autoregressive processes
Author: Möller, Tobias
Silva, M. Eduarda
Weiss, Christian
Scotto, Manuel González
Pereira, Isabel
Keywords: Thinning operation
Threshold models
Binomial models
Count processes
Issue Date: Oct-2016
Publisher: Springer
Abstract: We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645–650, 1985. doi:10.1111/j.1752-1688.1985. tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany.
Peer review: yes
URI: http://hdl.handle.net/10773/16182
DOI: 10.1007/s10182-015-0264-6
ISSN: 1863-818X
Appears in Collections:CIDMA - Artigos

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