A COMBINED SDLINAR(p) MODEL AND IDENTIFICATION AND PREDICTION OF ITS LATENT COMPONENTS

Miodrag S. Djordjevic

DOI Number
10.22190/FUMI1605919D
First page
919
Last page
946

Abstract

The main subject of this paper is a combined integer-valued autoregressive
time series with both positive and negative values, based on a new thinning operator. Some important properties are analyzed. Estimators of the unknown parameters are derived and their asymptotic behavior is analyzed. A simulation and an application on real-data are also shown. In the end, a mechanism for identification and prediction of the latent dimensions of the model are presented.


Keywords

Autoregressive time series; Thinning operator; Marginal distribution; Marginal.

Keywords


SDLINAR(p); INAR(p); Skew discrete Laplace distribution; Thinning; Estimation; Prediction; Latent components

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