A non-linear random environment INAR(1) model

被引：1

作者：

Popovic, Predrag M. ^{[1
]}

Bakouch, Hassan S. ^{[2
]}

Ristic, Miroslav M. ^{[3
]}

机构：

[1] Univ Nis, Fac Civil Engn & Architecture, Nish, Serbia

[2] Tanta Univ, Fac Sci, Dept Math, Tanta, Egypt

[3] Univ Nis, Fac Sci & Math, Nish, Serbia

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2021年 / 390卷 / 390期

关键词：

Count time series; Thinning operator; Non-linear model; Floor operator;

D O I：

10.1016/j.cam.2021.113408

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we introduce a new integer valued autoregressive model of order one. The specificity of this model is based on its non-linear structure. The autoregressive component is defined through the binomial thinning operator. Also, an additional process is introduced into the autoregressive component. This random process controls how the previous value influences the next value of the observed series. For such a model, the main properties are derived and the unknown parameters of the model are estimated using the conditional maximum likelihood method. The practical aspect of the model is discussed on real data sets. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：10

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