Integer-Valued Self-Exciting Threshold Autoregressive Processes

被引：50

作者：

Monteiro, Magda ^{[2
]}

Scotto, Manuel G. ^{[1
]}

Pereira, Isabel ^{[1
]}

机构：

[1] Univ Aveiro, Dept Matemat, Res Unit CIDMA, P-3810193 Aveiro, Portugal

[2] Univ Aveiro, Escola Super Tecnol & Gestao Agueda, Res Unit CIDMA, P-3810193 Aveiro, Portugal

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2012年 / 41卷 / 15期

关键词：

Count processes; Binomial thinning; Threshold models; LEAST-SQUARES ESTIMATION; TIME-SERIES; MODELS;

D O I：

10.1080/03610926.2011.556292

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：

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.

引用

页码：2717 / 2737

页数：21

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