Title of article :
Integer Valued AR(1) with Geometric Innovations
Author/Authors :
Aghababaei Jazi, Mansour university of sistan and baluchestan - Faculty of Mathematics, زاهدان, ايران , Jones, Geoff Massey University - Institute of Fundamental Sciences, New Zealand , Lai, Chin-Diew Massey University - Institute of Fundamental Sciences, New Zealand
Abstract :
The classical integer valued first-order autoregressive (INA- R(1)) model has been defined on the basis of Poisson innovations. This model has Poisson marginal distribution and is suitable for modeling equidispersed count data. In this paper, we introduce an modification of the INAR(1) model with geometric innovations (INARG(1)) for model- ing overdispersed count data. We discuss some structural mathematical properties of the process comparing with classical INAR(1). Also, the superiority of the model in contrast with the INAR(1) is shown by some real time series
Keywords :
Binomial thinning operator , conditional maximum likeli , hood estimation , infinitely divisible distributions , mixture distributions
Journal title :
Journal of the Iranian Statistical Society (JIRSS)
Journal title :
Journal of the Iranian Statistical Society (JIRSS)
