RecordNumber
3938
Author
Nasirzadeh, Roya
Crop_Body
Roya Nasirzadeh, and Atefeh Zamani
Title of Article
Poisson-Lindley INAR(1) Processes: Some Estimation and Forecasting Methods
Title Of Journal
خبرنامه انجمن آمار ايران (JIRSS)
PublishInfo
تهران :انجمن آمار ايران
Publication Year
2020
Volum
19
Issue Number
2
Page
145-173
Keywords
Autoregressive , Estimation , Integer-Valued Time Series , Poisson-Lindley Distribution , Prediction
Abstract
This paper focuses on dierent methods of estimation and forecasting in
first-order integer-valued autoregressive processes with Poisson-Lindley (PLINAR(1))
marginal distribution. For this purpose, the parameters of the model are estimated
using Whittle, maximum empirical likelihood and sieve bootstrap methods. Moreover,
Bayesian and sieve bootstrap forecasting methods are proposed and predicted value
for h-step ahead of the series is obtained. Some simulations and a real data analysis are
applied to compare the presented estimations and the prediction methods.