Utilize este identificador para referenciar este registo:
http://hdl.handle.net/10773/26341
Título: | Periodic INAR(1) Models with Skellam-Distributed Innovations |
Autor: | Santos, Cláudia Pereira, Isabel Scotto, Manuel |
Palavras-chave: | Integer-valued autoregressive models Signed thinning operator Skellam distribution |
Data: | Jul-2019 |
Editora: | Springer |
Resumo: | In this paper, an integer-valued autoregressive model of order one (INAR(1)) with time-varying parameters and driven by a periodic sequence of innovations is introduced. The proposed INAR(1) model is based on the signed thinning operator defined by Kachour and Truquet (2011) and conveniently adapted to the periodic case. Basic notations and definitions concerning the periodic signed thinning operator are provided. Based on this thinning operator, Chesneau and Kachour (2012) established a signed INAR(1) model. Motivated by the work of Chesneau and Kachour (2012), we introduce a periodic model, denoted by S-PINAR(1), with period s. In contrast to conventional INAR(1) models, these models are defined in Z allowing for negative values both for the series and its autocorrelation function. For a proper Z-valued time series, a distribution for the innovation term defined on Z is required. The S-PINAR(1) model assumes a specific innovation distribution, the Skellam distribution. Regarding parameter estimation, two methods are considered: conditional least squares and conditional maximum likelihood. The performance of the S-PINAR(1) model is assessed through a simulation study. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/26341 |
DOI: | 10.1007/978-3-030-24302-9_6 |
ISBN: | 978-3-030-24301-2 |
Versão do Editor: | https://link.springer.com/chapter/10.1007%2F978-3-030-24302-9_6 |
Aparece nas coleções: | CIDMA - Capítulo de livro PSG - Capítulo de livro |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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ICCSA2019_Santos et al.pdf | 389.83 kB | Adobe PDF |
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