A geometric time-series model with an alternative dependent Bernoulli counting series

Aleksandar S. Nastić, Miroslav M. Ristić and Ana V. Miletić Ilić

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 2, 770-785

Abstract: In this article, we first introduce an alternative way for construction of the generalized binomial thinning operator with dependent counting series. Some properties of this thinning operator are derived and discussed. Then, by using this thinning operator, we introduce an integer-valued time-series model with geometric marginals. Some conditional and unconditional properties of this model are derived and discussed. Some estimation methods are considered and for some of them, asymptotic properties of the obtained estimates are derived. Performances of the estimates are discussed through some simulations. Finally, a real data example is considered and the goodness-of-fit of this model is compared with the models based on the binomial, negative binomial, and dependent binomial thinning operators.

Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:46:y:2017:i:2:p:770-785

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DOI: 10.1080/03610926.2015.1005100

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