A new INARMA(1,1) model with Poisson marginals

DOI10.1007/978-3-030-28665-1_24MaRDI QIDQ2179568zbMATH OpenOpenAlexFDO

Authors Johannes Bracher

Publication date 13 May 2020

Full work available at URL https://arxiv.org/abs/1910.07244

zbMATH Keywords

binomial thinningcount time seriesforward algorithminteger-valued ARMAinteger-valued GARCHunderreporting

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We suggest an INARMA(1, 1) model with Poisson marginals which extends the INAR(1) in a similar way as the INGARCH(1, 1) does for the INARCH(1) model. The new model is equivalent to a binomially thinned INAR(1) process. This allows us to obtain some of its stochastic properties and use inference methods for hidden Markov models. The model is compared to various other models in two case studies.

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Cited in

(5)

• Cluster point processes and Poisson thinning INARMA
• The marginal distribution of compound Poisson INAR(1) processes
• A Poisson INAR(1) model with serially dependent innovations
• Modelling larceny data using an INARMA(1,1) model
• A unifying class of compound Poisson integer-valued ARMA and GARCH models

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