Modelling with the Novel INAR(1)-PTE Process

• Published in: Methodology and computing in applied probability Vol. 24; no. 3; pp. 1735 - 1751
• Main Authors: Altun, Emrah, Khan, Naushad Mamode
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.09.2022; Springer Nature B.V
• Subjects: Autoregressive processes; Binomial distribution; Business and Management; Datasets; Economics; Electrical Engineering; Innovations; Life Sciences; Mathematics and Statistics; Parameter estimation; Process parameters; Random variables; Simulation; Statistics; Time series; Poisson-transmuted exponential distribution; Conditional maximum likelihood; Over-dispersion; 62E15; Binomial thinning; INAR process

In this paper, the first-order non-negative integer-valued autoregressive process with Poisson-transmuted exponential innovations is introduced. Three estimation methods, namely, the conditional maximum likelihood, conditional least squares and Yule-Walker estimation methods are discussed to estimat...