Please use this identifier to cite or link to this item:
http://hdl.handle.net/10773/4429
Title: | Estimation and forecasting in SUINAR(1) model |
Author: | Silva, N Pereira, I Silva, ME |
Keywords: | forecasts Gibbs sampling INAR mode panel data |
Issue Date: | 2008 |
Publisher: | Instituto Nacional de Estatística |
Abstract: | This work considers a generalization of the INAR(1) model to the panel data first order Seemingly Unrelated INteger AutoRegressive Poisson model, SUINAR(1). It presents Bayesian and classical methodologies to estimate the parameters of Poisson SUINAR(1) model and to forecast future observations of the process. In particular, prediction intervals for forecasts - classical approach - and HPD prediction intervals - Bayesian approach - are derived. A simulation study is provided to give additional insight into the finite sample behaviour of the parameter estimates and forecasts. |
Peer review: | yes |
URI: | http://hdl.handle.net/10773/4429 |
ISSN: | 1645-6726 |
Publisher Version: | http://www.ine.pt/revstat/pdf/rs080303.pdf |
Appears in Collections: | DMat - Artigos |
Files in This Item:
File | Description | Size | Format | |
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suinar_final.pdf | 552.97 kB | Adobe PDF | View/Open |
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