Diagnostic checks for integer-valued autoregressive models using expected residuals

Yousung Park () and Hee-Young Kim ()

Statistical Papers, 2012, vol. 53, issue 4, 970 pages

Abstract: Integer-valued time series models make use of thinning operators for coherency in the nature of count data. However, the thinning operators make residuals unobservable and are the main difficulty in developing diagnostic tools for autocorrelated count data. In this regard, we introduce a new residual, which takes the form of predictive distribution functions, to assess probabilistic forecasts, and this new residual is supplemented by a modified usual residuals. Under integer-valued autoregressive (INAR) models, the properties of these two residuals are investigated and used to evaluate the predictive performance and model adequacy of the INAR models. We compare our residuals with the existing residuals through simulation studies and apply our method to select an appropriate INAR model for an over-dispersed real data. Copyright Springer-Verlag 2012

Keywords: Integer-valued AR(p); Residuals; Probability integral transformation; Over-dispersion; Thinning parameter; 62M10; 62M20 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s00362-011-0399-9

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