An INAR model with discrete Laplace marginal distributions

DOI10.1214/14-BJPS262zbMath1381.62252MaRDI QIDQ288010

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

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; \(\operatorname{INAR}(1)\) model; discrete Laplace distribution; negative binomial thinning; skew discrete Laplace distribution

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62M09: Non-Markovian processes: estimation

Related Items

Noise-indicator nonnegative integer-valued autoregressive time series of the first order, Mixed Poisson INAR(1) processes

Cites Work

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