Poisson Difference Integer Valued Autoregressive Model of Order One

被引：0
|
作者：
Alzaid, Abdulhamid A. [1 ]
Omair, Maha A. [1 ]
机构：
[1] King Saud Univ, Dept Stat & Operat Res, Riyadh 11451, Saudi Arabia
来源：
BULLETIN OF THE MALAYSIAN MATHEMATICAL SCIENCES SOCIETY | 2014年 / 37卷 / 02期
关键词：
Integer valued time series; nonstationary; Poisson difference distribution; extended binomial distribution; TIME; MIXTURES;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
This paper aims to model integer valued time series with possible negative values and either positive or negative correlations by introducing the Poisson difference integer valued autoregressive model of order one. This model has Poisson difference marginal distribution and is defined by a new operator called the extended binomial thinning operator. It includes previous integer valued autoregressive of order one model as special cases. The model an be used as a tool to model non-stationary count data. The model is applied to data from the Saudi stock exchange.
引用
收藏
页码：465 / 485
页数：21
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