A new INAR model based on Poisson-BE2 innovations

Jiayue Zhang, Fukang Zhu and Naushad Mamode Khan

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 17, 6063-6077

Abstract: In this paper, two-parameter Poisson binomial-exponential 2 (PBE2) distribution is firstly reviewed, then a new integer-valued autoregressive (INAR) model with PBE2 innovations is proposed. The definition and statistical properties of the proposed model are given, including the mean, variance, covariance, strict stationarity and ergodicity. Two-step conditional least squares and conditional maximum likelihood estimation methods are considered to estimate the parameters. To assess the proposed model, a crime data set is analyzed and a comparison with other competing INAR models is given, which shows that the proposed model yields a better performance.

Date: 2023
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DOI: 10.1080/03610926.2021.2024571

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