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arXiv · 1802.00994

A new integer-valued AR(1) process based on power series thinning operator

Eisa Mahmoudi·Ameneh Rostami·Rasool Roozegar
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Abstract

In this paper, we introduce the first-order integer-valued autoregressive (INAR(1)) model, with Poisson-Lindley innovations based on power series thinning operator. Some mathematical features of this process are given and estimating the parameters is discussed by three methods; conditional least squares, Yule-Walker equations and conditional maximum likelihood.Then the results are studied for three special cases of power series operators. Finally, some numerical results are presented with a discussion to the obtained results and Four real data sets are used to show the potentially of the new process.

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Eisa Mahmoudi, Ameneh Rostami, Rasool Roozegar. 2018-02-03. A new integer-valued AR(1) process based on power series thinning operator. https://arxiv.org/abs/1802.00994

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