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A geometric time series model with dependent Bernoulli counting series
Author(s) -
Ristić Miroslav M.,
Nastić Aleksandar S.,
Miletić Ilić Ana V.
Publication year - 2013
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/jtsa.12023
Subject(s) - mathematics , autoregressive model , series (stratigraphy) , negative binomial distribution , estimator , bernoulli's principle , geometric distribution , marginal distribution , binomial (polynomial) , asymptotic distribution , bernoulli distribution , statistics , random variable , probability distribution , paleontology , engineering , poisson distribution , biology , aerospace engineering
A new stationary first‐order integer‐valued autoregressive process with geometric marginal distribution based on the generalized binomial thinning is introduced. The model involves dependent count variables. Some properties of the process are determined. A set of estimators are obtained, and their asymptotic distributions are considered. Some numerical results of the estimates are presented. Possible application of the process is discussed through the real data example.