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A p‐Order signed integer‐valued autoregressive (SINAR(p)) model
Author(s) -
Kachour M.,
Truquet L.
Publication year - 2011
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2010.00694.x
Subject(s) - mathematics , autoregressive model , autocorrelation , integer (computer science) , markov chain , star model , statistics , discrete mathematics , autoregressive integrated moving average , time series , computer science , programming language
In this article, we propose an extension of integer‐valued autoregressive INAR models. Using a signed version of the thinning operator, we define a larger class of ‐valued processes, called SINAR, which can have positive as well as negative correlations. Using a Markov chain method, conditions for stationarity and the existence of moments are investigated. In particular, it is shown that the autocorrelation function of any real‐valued AR process can be recovered with a SINAR process, which improves INAR modeling.