Generalized Poisson integer-valued autoregressive processes with structural changes

Chenhui Zhang, Dehui Wang, Kai Yang, Han Li and Xiaohong Wang

Journal of Applied Statistics, 2022, vol. 49, issue 11, 2717-2739

Abstract: In this paper, we introduce a new first-order generalized Poisson integer-valued autoregressive process, for modeling integer-valued time series exhibiting a piecewise structure and overdispersion. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators are derived. The asymptotic properties of the estimators are established. Moreover, two special cases of the process are discussed. Finally, some numerical results of the estimates and a real data example are presented.

Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:taf:japsta:v:49:y:2022:i:11:p:2717-2739

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DOI: 10.1080/02664763.2021.1915255

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