Some geometric mixed integer-valued autoregressive (INAR) models

Aleksandar S. Nastić and Miroslav M. Ristić

Statistics & Probability Letters, 2012, vol. 82, issue 4, 805-811

Abstract: In this paper, we introduce some mixed integer-valued autoregressive models of orders 1 and 2 with geometric marginal distributions, denoted by MGINAR(1) and MGINAR(2), using a mixture of the well-known binomial and the negative binomial thinning. The distributions of the innovation processes are derived and several properties of the model are discussed. Conditional least squares and Yule–Walker estimators are obtained, and some numerical results of the estimations are presented. A real-life data example is investigated to assess the performance of the models.

Keywords: INAR(1) models; INAR(2) models; Binomial thinning; Negative binomial thinning; Geometric marginal distribution (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2012.01.007

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