The combined INAR(p) models for time series of counts

By Christian H. Weiβ. 2008

49 citations recorded by the source corpus.

A new AR(p) model for time series of counts is investigated, the possible marginal distributions of which are those of the DSD family. We determine the autocorrelation structure of the whole model family and analyze two important special cases. A real-data example demonstrates the practical relevance of the new model family.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/06434cb75a4dd5053bf229321cbec58b3e1bdba1

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In Management Science and Operations Research

Citations in the corpus

Integer-Valued Self-Exciting Threshold Autoregressive Processes (2012, methodology): “We refer to McKenzie (2003) for an overview of the early work in this area and to Jung and Tremayne (2006, 2010) and Weiß (2008b) for recent developments.”
A geometric time series model with dependent Bernoulli counting series (2013, unknown): “…and Alzaid (1987), Alzaid and Al-Osh (1988, 1990), Du and Li (1991), Al-Osh and Aly (1992), Franke and Subba Rao (1995), Latour (1997), Silva and Oliveira (2004), Freeland and McCabe (2004a, 2004b, 2005), Jung and Tremayne (2006), Weiß (2008a), Cui and Lund (2010) and Bakouch and Ristić (2010).”
A New Class of Autoregressive Models for Time Series of Binomial Counts (2009, methodology): “Also, higher-order autoregressive models have been proposed, eg, by Alzaid and Al-Osh ( 1990 ), Du and Li ( 1991 ), Jayakumar ( 1995 ), and more recently, by Zhu and Joe ( 2006 ) and Weis ( 2008a ).”
Integer-valued autoregressive models for counts showing underdispersion (2013, unknown): “Therefore, another approach to extend the INAR(1) model to a pth order autoregressive model might be of interest, the combined INAR(p) model (CINAR(p)) of [31,35].”