A MIXTURE INTEGER-VALUED AUTOREGRESSIVE MODEL WITH A STRUCTURAL BREAK

Predrag Popović, Miroslav Ristić, Milena Stojanović

DOI Number
https://doi.org/10.22190/FUMI230203007P
First page
099
Last page
122

Abstract


In this manuscript we introduce a mixture integer-valued autoregressive model with a structural break. The introduced model is a mixture of an INAR(1) model with the binomial thinning operator and an INAR(1) model with the negative binomial thinning operator. Some properties of the introduced model are derived. The unknown parameters of the model are estimated by some methods and the performances of the obtained estimators are checked by simulations. At the end of the paper, two possible applications of the model are provided and discussed.

Keywords

Binomial thinning, Integer-valued autoregressive model, Mixture of INAR models, Structural break, Negative binomial thinning.

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References


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DOI: https://doi.org/10.22190/FUMI230203007P

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