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:: Volume 14, Issue 1 (8-2020) ::
JSS 2020, 14(1): 215-232 Back to browse issues page
An INAR(1) Model Based on Negative Binomial Thinning Operator with Serially Dependent Noise.
Mehrnaz Mohammadpour * , Masoumeh Shirozhan
Abstract:   (4374 Views)
‎In this paper‎, ‎we introduce a new integer-valued autoregressive model of first order based on the negative binomial thinning operator‎, ‎where the noises are serially dependent‎. ‎Some statistical properties of the model are discussed‎. ‎The model parameters are estimated by maximum likelihood and Yule-Walker methods‎. ‎By a simulation study‎, ‎the performances of the two estimation methods are studied‎. ‎This survey was carried out to study the efficiency of the new model by applying it on real data‎.
Keywords: ‎Over-Dispersion‎, ‎Negative Binomial Thinning‎, ‎Integer Valued Autoregressive (INAR) Model‎, ‎Maximum Likelihood‎, ‎Yule-Walker‎.
Full-Text [PDF 193 kb]   (1573 Downloads)    
Type of Study: Research | Subject: Time Series
Received: 2018/10/28 | Accepted: 2019/03/8 | Published: 2020/02/20
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Mohammadpour M, Shirozhan M. An INAR(1) Model Based on Negative Binomial Thinning Operator with Serially Dependent Noise.. JSS 2020; 14 (1) :215-232
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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 14, Issue 1 (8-2020) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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