A time series model based on dependent zero inflated counting series

Nisreen Shamma, Mehrnaz Mohammadpour () and Masoumeh Shirozhan
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Nisreen Shamma: University of Mazandaran
Mehrnaz Mohammadpour: University of Mazandaran
Masoumeh Shirozhan: University of Mazandaran

Computational Statistics, 2020, vol. 35, issue 4, No 10, 1737-1757

Abstract: Abstract In this paper, we introduce a new generalized negative binomial thinning operator with dependent counting series. Some properties of the thinning operator are derived. A new stationary integer-valued autoregressive model based on the thinning operator is constructed. In addition various properties of the process are determined, unknown parameters are estimated by several methods and the behavior of the estimators is described through the numerical results. Also, the model is applied on a real data set and compared to some relevant INAR(1) models.

Keywords: Dependent thinning operator; INAR model; Modified conditional least square method; Overdispersion (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:35:y:2020:i:4:d:10.1007_s00180-020-00982-4

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DOI: 10.1007/s00180-020-00982-4

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