Estimation in integer-valued moving average models
The authors consider a discrete analogue of the classical stationary q th-order moving average, INMA(q), process defined by NEWLINE\[NEWLINEy_{t}=\theta_{0}\circ \varepsilon_{t}+\theta_{1}\circ \varepsilon_{t-1}+\theta_{2}\circ \varepsilon_{t-2}+\ldots+\theta_{q}\circ \varepsilon_{t-q},\quad t=1,\ldots,T,NEWLINE\]NEWLINE where \(\{\varepsilon_{t}\}\) is an integer-valued i.i.d. sequence with non-negative expectation; \(\theta_{0},\ldots,\theta_{q-1}\in [0,1]\), \(\theta_{q}\in(0,1]\), and usually \( \theta_{0}=1\). The thinning operation is defined by \(\theta\circ y=\sum\limits_{i=1}^{y}u_{i}\) with \(y\) an integer-valued random variable and \(\{u_{i}\}\) a sequence of i.i.d. binary random variables independent of \(y\) and with \(Pr(u_{i}=1)=\theta\). The probability generating function for \(y_{t}\) is of the form \(\phi(z)=E[(1-z)^{y_{t}}]\).NEWLINENEWLINENEWLINEIn this article four models that admit some dependence structure between thinnings are considered. Descriptions of the Yule-Walker and the conditional least squares estimators are presented. A generalized method of moments (GMM) estimator based on the probability generating function is introduced. Small sample performances of estimators are studied using Monte Carlo simulations.
- A regression model for time series of counts
- An Improved Version of the Quandt-Ramsey MGF Estimator for Mixtures of Normal Distributions and Switching Regressions
- An integer-valued pth-order autoregressive structure (INAR(p)) process
- Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
- Binomial autoregressive moving average models
- Discrete analogues of self-decomposability and stability
- Empirical probability generating function. An overview
- Estimating Mixtures of Normal Distributions and Switching Regressions
- First-Order Integer-Valued Autoregressive (INAR (1)) Process: Distributional and Regression Properties
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- scientific article; zbMATH DE number 3673409 (Why is no real title available?)
- scientific article; zbMATH DE number 3583162 (Why is no real title available?)
- scientific article; zbMATH DE number 3604240 (Why is no real title available?)
- scientific article; zbMATH DE number 3395168 (Why is no real title available?)
- Integer-valued moving average (INMA) process
- Large Sample Properties of Generalized Method of Moments Estimators
- Markov Regression Models for Time Series: A Quasi-Likelihood Approach
- Some ARMA models for dependent sequences of poisson counts
- THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
- Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
- Integer-valued moving average models with structural changes
- Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
- Thinning operations for modeling time series of counts -- a survey
- A flexible univariate moving average time-series model for dispersed count data
- Cluster point processes and Poisson thinning INARMA
- Parameter estimation and diagnostic tests for INMA(1) processes
- Modelling overdispersion with integer-valued moving average processes
- The combined Poisson INMA\((q)\) models for time series of counts
- Extremes of integer-valued moving average models with exponential type tails
- On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
- A threshold mixed count time series model: estimation and application
- On the rounded integer-valued autoregressive process
- A bivariate INAR(1) model with different thinning parameters
- The combined Poisson INMA(2) models for integer-valued time series
- A bivariate integer-valued long-memory model for high-frequency financial count data
- Bivariate Time Series Modeling of Financial Count Data
- Integer-valued moving average (INMA) process
- On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
- Testing for serial dependence in time series models of counts
- Binomial thinning models for integer time series
- Thinning-based models in the analysis of integer-valued time series: a review
- On some periodic INARMA(p,q) models
- Efficient estimation in (PINAR(1)) model: semiparametric case
- Efficient estimation in periodic INAR(1) model: parametric case
- Efficient method of moments estimators for integer time series models
- A long-memory integer-valued time series model, INARFIMA, for financial application
- scientific article; zbMATH DE number 223230 (Why is no real title available?)
- \(\Delta \)-entropy: definition, properties and applications in system identification with quantized data
- Optimal Alarm Systems for Count Processes
- Inference for bivariate integer-valued moving average models based on binomial thinning operation
- A review of INMA integer-valued model class, application and further development
- Space-time Integer-valued ARMA modelling for time series of counts
- Extremes of integer-valued moving average sequences
- Stationary count time series models
- First-order spatial dependent count integer-valued autoregressive (Sp-DCINAR(1,1)) process
- The integer-valued moving-average random field
- Estimation in conditional first order autoregression with discrete support
- Serial dependence and regression of Poisson INARMA models
This page was built for publication: Estimation in integer-valued moving average models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2759391)
