An integer-valued threshold autoregressive process based on negative binomial thinning
| Autor: | Dehui Wang, Kai Yang, Han Li, Boting Jia |
|---|---|
| Rok vydání: | 2016 |
| Předmět: |
Statistics and Probability
021103 operations research Thinning 0211 other engineering and technologies Probabilistic logic Negative binomial distribution Estimator 02 engineering and technology 01 natural sciences 010104 statistics & probability Autoregressive model Statistics 0101 mathematics Statistics Probability and Uncertainty Random variable Variable (mathematics) Integer (computer science) Mathematics |
| Zdroj: | Statistical Papers. 59:1131-1160 |
| ISSN: | 1613-9798 0932-5026 |
| DOI: | 10.1007/s00362-016-0808-1 |
| Popis: | In this paper, we introduce an integer-valued threshold autoregressive process, which is driven by independent negative-binomial distributed random variables and based on negative binomial thinning. Basic probabilistic and statistical properties of this model are discussed. Conditional least squares and conditional maximum likelihood estimators and corresponding iterative algorithms are investigated for both the cases that the threshold variable is known or not. Also, the asymptotic properties of the estimators are obtained. Finally, some numerical results of the estimates and a real data example are presented. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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