The Marginal Distribution of Compound Poisson INAR(1) Processes

被引：3
|
作者：
Weiss, Christian H. [1 ]
Puig, Pedro [2 ]
机构：
[1] Helmut Schmidt Univ, Dept Math & Stat, D-22008 Hamburg, Germany
[2] Univ Autonoma Barcelona, Dept Math, Cerdanyola Del Valles 08193, Barcelona, Spain
来源：
STOCHASTIC MODELS, STATISTICS AND THEIR APPLICATIONS | 2015年 / 122卷
关键词：
TIME-SERIES;
D O I：
10.1007/978-3-319-13881-7_39
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A compound Poisson distribution is a natural choice for the innovations of an INAR(1) model. If the support of the compounding distribution is finite (Hermite-type distributions), the observations' marginal distribution belongs to the same family and it can be computed exactly. In the infinite case, however, which includes the popular choice of negative binomial innovations, this is not so simple. We propose two types of Hermite approximations for this case and investigate their quality in a numerical study.
引用
收藏
页码：351 / 359
页数：9
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