Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions

Autor:	Bogdan A. Pirković, Miroslav M. Ristić, Aleksandar S. Nastić
Jazyk:	angličtina
Rok vydání:	2023
Předmět:	random environment INAR(1) RrDLINAR1(M A) DLINAR(1) discrete Laplace distribution Statistics HA1-4737 Probabilities. Mathematical statistics QA273-280
Zdroj:	Revstat Statistical Journal, Vol 21, Iss 4 (2023)
Druh dokumentu:	article
ISSN:	1645-6726 2183-0371
Popis:	A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. RrDLINAR1(M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the RrDLINAR1(M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/3cc02f10b5124a09bdd92eaf2db85064 Zobrazit plný text záznamu View record in DOAJ