Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/31424
Title: | On the theory of periodic multivariate INAR processes |
Author: | Santos, Cláudia Pereira, Isabel Scotto, Manuel G. |
Keywords: | Periodic autoregression Binomial thinning operator Parameter estimation |
Issue Date: | Jun-2021 |
Publisher: | Springer |
Abstract: | In this paper a multivariate integer-valued autoregressive model of order one with periodic time-varying parameters, and driven by a periodic innovations sequence of independent random vectors is introduced and studied in detail. Emphasis is placed on models with periodic multivariate negative binomial innovations. Basic probabilistic and statistical properties of the novel model are discussed. Aiming to reduce computational burden arising from the use of the conditional maximum likelihood method, a composite likelihood-based approach is adopted. The performance of such method is compared with that of some traditional competitors, namely moment estimators and conditional maximum likelihood estimators. Forecasting is also addressed. Furthermore, an application to a real data set concerning the monthly number of fires in three counties in Portugal is presented. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/31424 |
DOI: | 10.1007/s00362-019-01136-5 |
ISSN: | 0932-5026 |
Publisher Version: | https://link.springer.com/article/10.1007%2Fs00362-019-01136-5 |
Appears in Collections: | CIDMA - Artigos DMat - Artigos PSG - Artigos |
Files in This Item:
File | Description | Size | Format | |
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2019 CSantosetal_StatPapR2.pdf | 685.75 kB | Adobe PDF | View/Open |
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