article
A generalised NGINAR(1) process with inflated-parameter geometric counting series
Registro en:
10.1111/anzs.12184
Autor
Borges, Patrick
Bourguignon, Marcelo
Molinares, Fabio Fajardo
Resumen
In this paper we propose a new stationary first-order non-negative integer valued autoregressive
process with geometric marginals based on a generalised version of the negative
binomial thinning operator. In this manner we obtain another process that we refer to as a
generalised stationary integer-valued autoregressive process of the first order with geometric
marginals. This new process will enable one to tackle the problem of overdispersion
inherent in the analysis of integer-valued time series data, and contains the new geometric
process as a particular case. In addition various properties of the new process, such as
conditional distribution, autocorrelation structure and innovation structure, are derived. We
discuss conditional maximum likelihood estimation of the model parameters. We evaluate
the performance of the conditional maximum likelihood estimators by a Monte Carlo
study. The proposed process is fitted to time series of number of weekly sales (economics)
and weekly number of syphilis cases (medicine) illustrating its capabilities in challenging
cases of highly overdispersed count data.