Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation

DOI10.1111/JTSA.12272MaRDI QIDQ4606960zbMATH OpenOpenAlexFDO

Authors Paolo Gorgi

Publication date 9 March 2018

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

Full work available at URL https://arxiv.org/abs/1609.01910, https://research.vu.nl/en/publications/b93fcd2a-f377-438b-8888-8748953e9489

zbMATH Keywords

count time seriestime-varying parametersINAR modelsscore-driven models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Censored data models (62N01) Inference from stochastic processes and prediction (62M20)

Abstract: A new class of integer-valued autoregressive models with dynamic survival probability is proposed. The peculiarity of this class of models lies on the specification of the survival probability through a stochastic recurrence equation. The estimation of the model can be performed by maximum likelihood and the consistency of the estimator is proved in a misspecified model setting. The flexibility of the proposed specification is illustrated in a simulation study. An application to a time series of crime reports is presented. The results show how the dynamic survival probability can enhance both in-sample and out-of-sample performances of integer-valued autoregressive models.

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