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A mixed INAR( p ) model
Author(s) -
Ristić Miroslav M.,
Nastić Aleksandar S.
Publication year - 2012
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.1467-9892.2012.00806.x
Subject(s) - mathematics , autoregressive model , autocorrelation , ergodic theory , conditional variance , star model , statistics , maximum likelihood , autoregressive conditional heteroskedasticity , econometrics , autoregressive integrated moving average , time series , pure mathematics , volatility (finance)
A mixed integer‐valued autoregressive model of order p is proposed. The existence of this unique, stationary and ergodic process is proved and its autocorrelation structure and some conditional stochastic characteristics are derived. Model parameters are estimated via Yule‐Walker, conditional least squares and conditional maximum likelihood methods. Finally, possible application of the model to real data sets is considered.