Forecasting with two generalized integer-valued autoregressive processes of order one in the mutual random environment
Popović, Predrag M. (University of Nis (Sèrbia). Faculty of Civil Engineering and Architecture)
Laketa, Petra N. (University of Nis (Sèrbia). Faculty of Sciences and Mathematic)
Nastić, Aleksandar S. (University of Nis (Sèrbia). Faculty of Sciences and Mathematic)

Data:	2019
Resum:	In this article, we consider two univariate random environment integer-valued autoregressive processes driven by the same hidden process. A model of this kind is capable of describing two correlated non-stationary counting time series using its marginal variable parameter values. The properties of the model are presented. Some parameter estimators are described and implemented on the simulated time series. The introduction of this bivariate integer-valued autoregressive model with a random environment is justified at the end of the paper, where its real-life data-fitting performance was checked and compared to some other appropriate models. The forecasting properties of the model are tested on a few data sets, and forecasting errors are discussed through the residual analysis of the components that comprise the model.
Drets:	Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades.
Llengua:	Anglès
Document:	Article ; recerca ; Versió publicada
Matèria:	INAR ; Negative binomial thinning ; Random states ; Time series of count ; Non-stationary process
Publicat a:	SORT : statistics and operations research transactions, Vol. 43 Núm. 2 (July-December 2019) , p. 355-384, ISSN 2013-8830

Adreça alternativa: https://raco.cat/index.php/SORT/article/view/361446
DOI: 10.2436/20.8080.02.92

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