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所属单位：数学与统计学院

发表刊物：Metrika

项目来源：国家自然科学基金项目

关键字：Generalized poisson thinning GPINAR(1) process Overdispersion Underdispersion Moments targeting estimation

摘要：To accurately and flexibly capture the dispersion features of time series of counts, we introduce the generalized Poisson thinning operation and further define some new integer-valued autoregressive processes. Basic probabilistic and statistical properties of the models are discussed. Conditional least squares and maximum quasi likelihood estimators are investigated via the moment targeting estimation methods for the innovation free case. Also, the asymptotic properties of the estimators are obtained. Conditional maximum likelihood estimation for the parametric cases are also discussed. Finally, some numerical results of the estimates and two real data examples are presented.

合写作者：康尧,王德辉,李晗,刁亚静

第一作者：杨凯

论文类型：期刊论文

卷号：82

期号：7

页面范围：1

是否译文：否

发表时间：2019-10-01