A note on an integer valued time series model with Poisson–negative binomial marginal distribution

K. K. Jose and K. D. Mariyamma

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 1, 123-131

Abstract: This paper proposes a new model for autoregressive time series of counts in terms of a convolution of Poisson and negative binomial random variables, known as Poisson–negative binomial (PNB) distribution. The corresponding first-order integer valued time series models are developed and their properties are discussed. The geometric PNB and the geometric semi PNB distributions are also introduced and studied.

Date: 2016
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DOI: 10.1080/03610926.2013.826979

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