Self-exciting threshold binomial autoregressive processes

被引：0

作者：

Tobias A. Möller

Maria Eduarda Silva

Christian H. Weiß

Manuel G. Scotto

Isabel Pereira

机构：

[1] Helmut Schmidt University,Department of Mathematics and Statistics

[2] University of Porto,Center for Research and Development in Mathematics and Applications (CIDMA), Faculty of Economics

[3] IST University of Lisbon,CEMAT and Department of Mathematics

[4] University of Aveiro,Center for Research and Development in Mathematics and Applications (CIDMA), Department of Mathematics

来源：

AStA Advances in Statistical Analysis | 2016年 / 100卷

关键词：

Thinning operation; Threshold models; Binomial models; Count processes;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645–650, 1985. doi:10.1111/j.1752-1688.1985.tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany.

引用

页码：369 / 400

页数：31

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