A Binomial Integer-Valued ARCH Model

Ristić Miroslav M. (), Weiß Christian H. () and Janjić Ana D.
Additional contact information
Ristić Miroslav M.: Department of Mathematics, University of Niš, Niš, Serbia
Weiß Christian H.: Department of Mathematics and Statistics, Helmut Schmidt University Hamburg, Hamburg, Germany
Janjić Ana D.: Department of Mathematics, University of Niš, Niš, Serbia

The International Journal of Biostatistics, 2016, vol. 12, issue 2, 21

Abstract: We present an integer-valued ARCH model which can be used for modeling time series of counts with under-, equi-, or overdispersion. The introduced model has a conditional binomial distribution, and it is shown to be strictly stationary and ergodic. The unknown parameters are estimated by three methods: conditional maximum likelihood, conditional least squares and maximum likelihood type penalty function estimation. The asymptotic distributions of the estimators are derived. A real application of the novel model to epidemic surveillance is briefly discussed. Finally, a generalization of the introduced model is considered by introducing an integer-valued GARCH model.

Keywords: binomial INARCH (p) model; binomial INGARCH (p; q) model; overdispersion; parameter estimation; epidemic surveillance (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/ijb-2015-0051 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:ijbist:v:12:y:2016:i:2:p:21:n:6

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/ijb/html

DOI: 10.1515/ijb-2015-0051

Access Statistics for this article

The International Journal of Biostatistics is currently edited by Antoine Chambaz, Alan E. Hubbard and Mark J. van der Laan

More articles in The International Journal of Biostatistics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().