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 |
Files in This Item:
File | Description | Size | Format | |
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j2015_ASta.pdf | Main article | 640.92 kB | Adobe PDF | View/Open |
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