Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/37064
Title: | Integer-valued self-exciting threshold autoregressive processes |
Author: | Monteiro, Magda Scooto, Manuel G. Pereira, Isabel |
Keywords: | Count processes Binomial thinning Threshold models |
Issue Date: | Jun-2012 |
Publisher: | Taylor and Francis Group |
Abstract: | In this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the least squares-type and likelihood-based ones. Their performance is compared through a simulation study. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/37064 |
DOI: | 10.1080/03610926.2011.556292 |
ISSN: | 0361-0926 |
Publisher Version: | https://doi.org/10.1080/03610926.2011.556292 |
Appears in Collections: | CIDMA - Artigos PSG - Artigos |
Files in This Item:
File | Description | Size | Format | |
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Integer Valued Self Exciting Threshold Autoregressive Processes.pdf | 1.07 MB | Adobe PDF |
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