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A time series model based on dependent zero inflated counting series

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Abstract

In this paper, we introduce a new generalized negative binomial thinning operator with dependent counting series. Some properties of the thinning operator are derived. A new stationary integer-valued autoregressive model based on the thinning operator is constructed. In addition various properties of the process are determined, unknown parameters are estimated by several methods and the behavior of the estimators is described through the numerical results. Also, the model is applied on a real data set and compared to some relevant INAR(1) models.

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Authors and Affiliations

  1. Faculty of Mathematical Sciences, University of Mazandaran, Babolsar, Iran

    Nisreen Shamma, Mehrnaz Mohammadpour & Masoumeh Shirozhan

Authors
  1. Nisreen Shamma
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  2. Mehrnaz Mohammadpour
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  3. Masoumeh Shirozhan
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Correspondence to Mehrnaz Mohammadpour.

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Shamma, N., Mohammadpour, M. & Shirozhan, M. A time series model based on dependent zero inflated counting series. Comput Stat 35, 1737–1757 (2020). https://doi.org/10.1007/s00180-020-00982-4

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  • DOI: https://doi.org/10.1007/s00180-020-00982-4

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