Correlated INAR(1) process

DOI10.1007/978-3-642-57678-2_43zbMath1455.62173OpenAlexW609846598MaRDI QIDQ3297968

Nikolai Kolev, Delhi Paiva

Publication date: 21 July 2020

Published in: COMPSTAT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-57678-2_43

zbMATH Keywords

simulationautoregressive modelconditional maximum likelihoodrandom summationcorrelated binomial thinning

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Random sums of exchangeable variables and actuarial applications ⋮ Multinomial model for random sums

Uses Software

• Ox

Cites Work

• Discrete analogues of self-decomposability and stability
• On conditional least squares estimation for stochastic processes
• A family of partially correlated Poisson models for overdispersion
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

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