Modeling time series of counts with a new class of INAR (1) model

WC Khoo, SH Ong, A Biswas - Statistical Papers, 2017 - Springer
Statistical Papers, 2017Springer
This paper presents a new model for a stationary non-negative first order of integer-valued
random variables based on the Pegram and thinning operators. Some fundamental and
regression properties of the proposed model are discussed. Maximum likelihood estimation
(MLE) by the EM algorithm is applied to estimate the parameters. Numerical studies to
compare the proposed model with the thinning and Pegram models and the breakdown
point of MLE for the proposed model have been conducted. Finally, a real life count data set …
Abstract
This paper presents a new model for a stationary non-negative first order of integer-valued random variables based on the Pegram and thinning operators. Some fundamental and regression properties of the proposed model are discussed. Maximum likelihood estimation (MLE) by the EM algorithm is applied to estimate the parameters. Numerical studies to compare the proposed model with the thinning and Pegram models and the breakdown point of MLE for the proposed model have been conducted. Finally, a real life count data set has been used to illustrate its application. Comparison with existing models by AIC showed that the proposed model is much better and illustrates its potential usefulness in empirical modeling.
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