Open AccessInteger-Valued Moving Average Models with Structural Changes
Author(s) -
Kaizhi Yu,
Hong Zou,
Daimin Shi
Publication year - 2014
Publication title -
mathematical problems in engineering
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.262
H-Index - 62
eISSN - 1026-7077
pISSN - 1024-123X
DOI - 10.1155/2014/231592
Subject(s) - estimator , integer (computer science) , moment (physics) , series (stratigraphy) , process (computing) , range (aeronautics) , mathematics , sample (material) , order (exchange) , statistical physics , computer science , statistics , engineering , physics , paleontology , thermodynamics , finance , classical mechanics , economics , biology , programming language , aerospace engineering , operating system
It is frequent to encounter integer-valued time series which are small in value and show a trend having relatively large fluctuation. To handle such a matter, we present a new first order integer-valued moving average model process with structural changes. The models provide a flexible framework for modelling a wide range of dependence structures. Some statistical properties of the process are discussed and moment estimation is also given. Simulations are provided to give additional insight into the finite sample behaviour of the estimators
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