Modelling with the Novel INAR(1)-PTE Process

Emrah Altun () and Naushad Mamode Khan ()
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Emrah Altun: Bartin University
Naushad Mamode Khan: University of Mauritius

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 3, 1735-1751

Abstract: Abstract In this paper, the first-order non-negative integer-valued autoregressive process with Poisson-transmuted exponential innovations is introduced. Three estimation methods, namely, the conditional maximum likelihood, conditional least squares and Yule-Walker estimation methods are discussed to estimate the unknown parameters of the proposed process. Additionally, the simulation study is presented to assess the efficiencies of these estimation methods. Applications to two real-life data sets illustrate the usefulness of the proposed process.

Keywords: Poisson-transmuted exponential distribution; INAR(1) process; Conditional maximum likelihood; Binomial thinning; Over-dispersion; 62E15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11009-021-09878-2

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