Stationary solutions for integer-valued autoregressive processes

DOI10.1155/IJMMS.2005.1MaRDI QIDQ2569980zbMATH OpenOpenAlexFDO

Authors Emad-Eldin A. A. Aly, Nadjib Bouzar

Publication date 24 October 2005

Published in International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/52165

zbMATH Keywords

thinning

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

The authors consider integer-valued autoregressive processes, such as have been considered in a special case by E. McKenzie in several papers. He uses the multiplicator or `thinning operator' \(\odot\) as introduced by Van Harn and the reviewer. The present authors generalize these processes by use of an extension of the thinning operator by \textit{K. van Harn, F. W. Steutel} and \textit{W. Vervaat} [Z. Wahrscheinlichkeitstheorie Verw. Geb. 61, 97--118 (1982; Zbl 0476.60016)]. This operator, denoted by \({\odot}_{F}\) is used to define and analyse a class of integer-valued autoregressive processes, indexed by a semigroup \(F\), which determines the multiplicator.

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• Optimal Alarm Systems for Count Processes
• On some stationary INAR(1) processes with compound Poisson distributions
• Negative binomial time series models based on expectation thinning operators

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