A flexible threshold INAR(1) process with signed generalized power series thinning operator and Skellam innovation

Tengyue Ma, Cong Li and Dehui Wang

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 23, 7439-7456

Abstract: A threshold INAR(1) process with signed generalized power series thinning operator is introduced, and the innovation distribution is assumed to be the Skellam distribution. The process allows negative and positive values for the series and can handle non stationary count data. The estimation of the threshold parameter is considered; the conditional least squares (CLS) and conditional maximum likelihood (CML) estimators for the other parameters are derived, and some asymptotic properties are established. Numerical results of the estimators and the analysis of real data are studied to assess the performances.

Date: 2025
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DOI: 10.1080/03610926.2025.2476730

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