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Generalized Poisson integer-valued autoregressive processes with structural changes.

ABSTRACT: In this paper, we introduce a new first-order generalized Poisson integer-valued autoregressive process, for modeling integer-valued time series exhibiting a piecewise structure and overdispersion. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators are derived. The asymptotic properties of the estimators are established. Moreover, two special cases of the process are discussed. Finally, some numerical results of the estimates and a real data example are presented.

SUBMITTER: Zhang C

PROVIDER: S-EPMC9336494 | biostudies-literature | 2022

REPOSITORIES: biostudies-literature

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Generalized Poisson integer-valued autoregressive processes with structural changes.

Zhang Chenhui C Wang Dehui D Yang Kai K Li Han H Wang Xiaohong X

Journal of applied statistics 20210415 11

In this paper, we introduce a new first-order generalized Poisson integer-valued autoregressive process, for modeling integer-valued time series exhibiting a piecewise structure and overdispersion. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators are derived. The asymptotic properties of the estimators are established. Moreover, two special cases of the process are discussed. Finally, some numerica ...[more]

PMID: 35909669

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