Generalized Poisson Difference Autoregressive Processes

Giulia Carallo, Roberto Casarin and Christian P. Robert

Papers from arXiv.org

Abstract: This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and exploit the thinning representation to derive stationarity conditions and the stationary distribution of the process. We provide a Bayesian inference method and an efficient posterior approximation procedure based on Monte Carlo. Numerical illustrations on both simulated and real data show the effectiveness of the proposed inference.

Date: 2020-02
New Economics Papers: this item is included in nep-ecm and nep-ets
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Journal Article: Generalized Poisson difference autoregressive processes (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2002.04470

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