Statistical Analysis of Poisson Conditionally Nonlinear Autoregressive Time Series by Frequencies-Based Estimators

被引：2

作者：

Kharin, Yu ^{[1
]}

Kislach, M. ^{[1
]}

机构：

[1] Belarusian State Univ, Res Inst Appl Problems Math & Informat, Minsk 220030, BELARUS

来源：

PATTERN RECOGNITION AND IMAGE ANALYSIS | 2020年 / 30卷 / 01期

关键词：

statistical forecasting; integer-valued time series; Poisson distribution; Markov chain; frequencies-based estimators; ROBUSTNESS; PARAMETERS; MODELS;

D O I：

10.1134/S1054661820010083

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Poisson conditionally nonlinear autoregressive model is proposed for integer-valued time series. Frequencies-based estimators (FBE) for model parameters, statistical forecasting statistics, and statistical tests for this model are constructed; their performance is analyzed theoretically and by computer experiments on simulated and real data.

引用

页码：22 / 26

页数：5

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