First-order rounded integer-valued autoregressive (RINAR(l)) process

DOI10.1111/J.1467-9892.2009.00620.XzbMATH Open1224.62060arXiv0902.1598OpenAlexW2142499857MaRDI QIDQ3077656FDOQ3077656

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Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: An extension of the RINAR(1) process for modelling discrete-time dependent counting processes is considered. The model RINAR(p) investigated here is a direct and natural extension of the real AR(p) model. Compared to classical INAR(p) models based on the thinning operator, the new models have several advantages: simple innovation structure ; autoregressive coefficients with arbitrary signs ; possible negative values for time series ; possible negative values for the autocorrelation function. The conditions for the stationarity and ergodicity, of the RINAR(p) model, are given. For parameter estimation, we consider the least squares estimator and we prove its consistency under suitable identifiability condition. Simulation experiments as well as analysis of real data sets are carried out to assess the performance of the model.

Full work available at URL: https://arxiv.org/abs/0902.1598

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zbMATH Keywords

integer-valued time series: INAR modelsrounding operator: least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Roundoff error (65G50)

Cites Work

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• Title not available (Why is that?)
• Integer-Valued GARCH Process
• A simple integer-valued bilinear time series model

Cited In (34)

• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• Seasonal count time series
• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Flexible Bivariate INAR(1) Processes Using Copulas
• Limit theorems for bifurcating integer-valued autoregressive processes
• A p-Order signed integer-valued autoregressive (SINAR(p)) model
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• Integer-valued moving average models with structural changes
• Inference for Random Coefficient INAR(1) Process Based on Frequency Domain Analysis
• Rounded data analysis based on multi-layer ranked set sampling
• The effects of additive outliers in INAR(1) process and robust estimation
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
• Coherent forecasting for count time series using Box–Jenkins's AR(p) model
• Inference in binomial AR(1) models
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• A geometric time series model with inflated-parameter Bernoulli counting series
• Regularized estimation in GINAR(\(p\)) process
• Random rounded integer-valued autoregressive conditional heteroskedastic process
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
• On the Rounded Integer-Valued Autoregressive Process
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• SUPERPOSITIONED STATIONARY COUNT TIME SERIES
• A parametric study for the first-order signed integer-valued autoregressive process
• Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts
• Latent Gaussian Count Time Series
• Title not available (Why is that?)
• Innovational Outliers in INAR(1) Models
• Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation
• On the quasi-likelihood estimation for random coefficient autoregressions
• A new skew integer valued time series process
• A Trinomial difference autoregressive model and its applications
• Two-step conditional least squares estimation for the bivariate Z-valued INAR(1) model with bivariate Skellam innovations
• Some estimation and forecasting procedures in Possion-Lindley INAR(1) process
• Analysis of accumulated rounding errors in autoregressive processes

Uses Software

• EDDIE

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