English, Article edition: First-order rounded integer-valued autoregressive (RINAR(1)) process M. Kachour; J. F. Yao

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Physical Description
  • article
Language
  • English

Edition details

Title
  • First-order rounded integer-valued autoregressive (RINAR(1)) process
Author
  • M. Kachour
  • J. F. Yao
Physical Description
  • article
Notes
  • We introduce a new class of autoregressive models for integer-valued time series using the rounding operator. Compared with classical INAR models based on the thinning operator, the new models have several advantages: simple innovation structure, autoregressive coefficients with arbitrary signs, possible negative values for time series and possible negative values for the autocorrelation function. Focused on the first-order RINAR(1) model, we give conditions for its ergodicity and stationarity. For parameter estimation, a least squares estimator is introduced and we prove its consistency under suitable identifiability condition. Simulation experiments as well as analysis of real data sets are carried out to attest the model performance. Copyright 2009 Blackwell Publishing Ltd
  • RePEc:bla:jtsera:v:30:y:2009:i:4:p:417-448
Language
  • English
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