An INAR model with discrete Laplace marginal distributions

DOI10.1214/14-BJPS262MaRDI QIDQ288010zbMATH OpenFDO

Authors Aleksandar S. Nastić, Miroslav M. Ristić, Miodrag S. Djordjević

Publication date 23 May 2016

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bjps/1453211805

zbMATH Keywords

geometric distribution\(\operatorname{INAR}(1)\) modeldiscrete Laplace distributionnegative binomial thinningskew discrete Laplace distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cites work

• A \(p\)-order signed integer-valued autoregressive (SINAR(\(p\))) model
• A bivariate INAR(1) time series model with geometric marginals
• A combined geometric \(INAR(p)\) model based on negative binomial thinning
• A discrete analogue of the Laplace distribution
• A mixed INAR(p) model
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• A non-stationary integer-valued autoregressive model
• A skew Laplace distribution on integers
• Asymptotic distribution of the Yule--Walker estimator for INAR(p) processes
• Generalized RCINAR(p) Process with Signed Thinning Operator
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Inference for pth-order random coefficient integer-valued autoregressive processes
• On the quasi-likelihood estimation for random coefficient autoregressions
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Time series: theory and methods

Cited in

(8)

• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Mixed Poisson INAR(1) processes
• An extension on INAR models with discrete Laplace marginal distributions
• Random environment integer-valued autoregressive process with discrete Laplace marginal distributions
• A new INARMA(1,1) model with Poisson marginals
• A novel geometric AR(1) model and its estimation
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• A mixed INAR(p) model

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