Integer-Valued Moving Average Models with Structural Changes

Kaizhi Yu, Hong Zou and Daimin Shi

Mathematical Problems in Engineering, 2014, vol. 2014, 1-5

Abstract:

It is frequent to encounter integer-valued time series which are small in value and show a trend having relatively large fluctuation. To handle such a matter, we present a new first order integer-valued moving average model process with structural changes. The models provide a flexible framework for modelling a wide range of dependence structures. Some statistical properties of the process are discussed and moment estimation is also given. Simulations are provided to give additional insight into the finite sample behaviour of the estimators.

Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:231592

DOI: 10.1155/2014/231592

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