<abstract xmlns="http://www.w3.org/1999/xhtml"><p>Time series of counts occur in many real-life situations where they exhibit various forms of dispersion. To facilitate the modeling of such time series, this paper introduces a flexible first-order integer-valued non-stationary autoregressive (INAR(1)) process where the innovation terms follow a Conway-Maxwell Poisson distribution (COM-Poisson). To estimate the unknown parameters in this model, different estimation approaches based on likelihood and quasi-likelihood formulations are considered. From simulation experiments and a real-life data application, the Generalized Quasi-Likelihood (GQL) approach yields estimates with lower bias than the other estimation approaches.</p></abstract>

Time series of counts occur in many real-life situations where they exhibit various forms of dispersion. To facilitate the modeling of such time series, this paper introduces a flexible first-order integer-valued non-stationary autoregressive (INAR(1)) process where the innovation terms follow a Conway-Maxwell Poisson distribution (COM-Poisson). To estimate the unknown parameters in this model, different estimation approaches based on likelihood and quasi-likelihood formulations are considered. From simulation experiments and a real-life data application, the Generalized Quasi-Likelihood (GQL) approach yields estimates with lower bias than the other estimation approaches.

Estimation Methods for a Flexible INAR(1) COM-Poisson Time Series Model

Journal of Applied Mathematics, Statistics and Informatics

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

{"article-title":"Estimation Methods for a Flexible INAR(1) COM-Poisson Time Series Model"}

Time series of counts occur in many real-life situations where they exhibit various forms of dispersion. To facilitate the modeling of such time series, this...

Estimation Methods for a Flexible INAR(1) COM-Poisson Time Series Model

Published Online: Jun 19, 2018

Page range: 57 - 82

DOI: https://doi.org/10.2478/jamsi-2018-0005

© 2018 Faculty of Natural Sciences, University of Saint Cyril and Metodius, published by Sciendo

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.