INTEGER VALUED AR(1) WITH GEOMETRIC INNOVATIONS

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AGHABABAEI JAZI MANSOUR; JONES GEOFF; DIEW LAI CHIN

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Journal Paper

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Journal: Journal of the Iranian Statistical Society Year:2012 | Volume:11 | Issue:2 Page(s): 173-190

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Information Journal Paper

Title

INTEGER VALUED AR(1) WITH GEOMETRIC INNOVATIONS

Author(s)

AGHABABAEI JAZI MANSOUR | JONES GEOFF | DIEW LAI CHIN | Issue Writer Certificate

Keywords

BINOMIAL THINNING OPERATOR

CONDITIONAL MAXIMUM LIKELIHOOD ESTIMATION

INFINITELY DIVISIBLE DISTRIBUTIONS

MIXTURE DISTRIBUTIONS

Abstract

The classical integer valued first-order autoregressive (INAR (1)) model has been defined on the basis of Poisson innovations. This model has Poisson marginal distribution and is suitable for modeling equidispersed count data. In this paper, we introduce a modification of the INAR (1) model with geometric innovations (INARG (1)) for modeling over dispersed count data. We discuss some structural mathematical properties of the process comparing with classical INAR (1). Also, the superiority of the model in contrast with the INAR (1) is shown by some real time series.

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APA: Copy

AGHABABAEI JAZI, MANSOUR, JONES, GEOFF, & DIEW LAI, CHIN. (2012). INTEGER VALUED AR(1) WITH GEOMETRIC INNOVATIONS. JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS), 11(2), 173-190. SID. https://sid.ir/paper/595542/en

Vancouver: Copy

AGHABABAEI JAZI MANSOUR, JONES GEOFF, DIEW LAI CHIN. INTEGER VALUED AR(1) WITH GEOMETRIC INNOVATIONS. JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS)[Internet]. 2012;11(2):173-190. Available from: https://sid.ir/paper/595542/en

IEEE: Copy

MANSOUR AGHABABAEI JAZI, GEOFF JONES, and CHIN DIEW LAI, “INTEGER VALUED AR(1) WITH GEOMETRIC INNOVATIONS,” JOURNAL OF THE IRANIAN STATISTICAL SOCIETY (JIRSS), vol. 11, no. 2, pp. 173–190, 2012, [Online]. Available: https://sid.ir/paper/595542/en

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