The max-BARMA models for counts with bounded support

Christian H. Weiß, Manuel G. Scotto, Tobias A. Möller and Sónia Gouveia

Statistics & Probability Letters, 2018, vol. 143, issue C, 28-36

Abstract: In this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis and Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic probabilistic and statistical properties of this new class of models are discussed in detail, namely the existence of a stationary distribution, and how observations’ and innovations’ distributions are related to each other. Furthermore, parameter estimation is also addressed.

Keywords: Thinning operator; Autoregressive moving-average processes; Finite counts (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715218302554
Full text for ScienceDirect subscribers only

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:eee:stapro:v:143:y:2018:i:c:p:28-36

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2018.07.011

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().