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Title: Modelling overdispersion with integer-valued moving average processes
Author: Silva, Maria Eduarda
Silva, Isabel
Torres, Cristina
Keywords: Count time series
Bivariate time series
INAR models
Negative binomial
Issue Date: Mar-2019
Publisher: Springer International Publishing
Abstract: A new first-order integer-valued moving average, INMA(1), model based on the negative binomial thinning operation defined by Risti´c et al. [21] is proposed and characterized. It is shown that this model has negative binomial (NB) marginal distribution when the innovations follow a NB distribution and therefore it can be used in situations where the data present overdispersion. Additionally, this model is extended to the bivariate context. The Generalized Method of Moments (GMM) is used to estimate the unknown parameters of the proposed models and the results of a simulation study that intends to investigate the performance of the method show that, in general, the estimates are consistent and symmetric. Finally, the proposed model is fitted to a real dataset and the quality of the adjustment is evaluated.
Peer review: yes
DOI: 10.1007/978-3-030-28665-1
ISBN: 978-3-030-28664-4
ISSN: 2194-1009
Publisher Version:
Appears in Collections:CIDMA - Capítulo de livro
PSG - Capítulo de livro

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