Random Environment INAR Models of Higher Order

Two different random environment INAR models of higher order, RrNGINARmax(p) and RrNGINAR1(p), are introduced. Both of them are of variable order, which is not a random variable. Each step order is defined using the random environment process. Properties of the defined models are analyzed in parall...

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Bibliographic Details
Published in:Revstat Statistical Journal
Main Authors: Aleksandar S. Nastić, Petra N. Laketa, Miroslav M. Ristić
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2019-01-01
Subjects:
random environment
INAR(p)
RrNGINAR
negative binomial thinning
geometric marginals
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/258
Description
Summary:Two different random environment INAR models of higher order, RrNGINARmax(p) and RrNGINAR1(p), are introduced. Both of them are of variable order, which is not a random variable. Each step order is defined using the random environment process. Properties of the defined models are analyzed in parallel. The conditional expectation and variance are calculated. The strongly consistent Yule-Walker estimators are defined and new modified estimators are given. Models are applied to the simulated and the real-life data and the results show benefits of the introduced models.
ISSN:1645-6726
2183-0371

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