On a flexible construction of a negative binomial model

Fabrizio Leisen, Ramsés H. Mena, Freddy Palma and Luca Rossini

Statistics & Probability Letters, 2019, vol. 152, issue C, 1-8

Abstract: This work presents a construction of stationary Markov models with negative-binomial marginal distributions. A simple closed form expression for the corresponding transition probabilities is given, linking the proposal to well-known classes of birth and death processes and thus revealing interesting characterizations. The advantage of having such closed form expressions is tested on simulated and real data.

Keywords: Birth and death process; Integer-valued time series model; Negative-binomial distribution; Stationary model (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.04.004

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