Integer Valued AR(1) with Geometric Innovations
Authors
Abstract:
The classical integer valued first-order autoregressive (INA- R(1)) model has been defined on the basis of Poisson innovations. This model has Poisson marginal distribution and is suitable for modeling equidispersed count data. In this paper, we introduce an modification of the INAR(1) model with geometric innovations (INARG(1)) for model- ing overdispersed count data. We discuss some structural mathematical properties of the process comparing with classical INAR(1). Also, the superiority of the model in contrast with the INAR(1) is shown by some real time series.
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Journal title
volume 11 issue None
pages 173- 190
publication date 2012-11
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