A p-Order signed integer-valued autoregressive (SINAR(p)) model - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Journal of Time Series Analysis Année : 2011

A p-Order signed integer-valued autoregressive (SINAR(p)) model

Maher Kachour
  • Fonction : Auteur

Résumé

In this article, we propose an extension of integer-valued autoregressive INAR models. Using a signed version of the thinning operator, we define a larger class of -valued processes, called SINAR, which can have positive as well as negative correlations. Using a Markov chain method, conditions for stationarity and the existence of moments are investigated. In particular, it is shown that the autocorrelation function of any real-valued AR process can be recovered with a SINAR process, which improves INAR modeling.

Dates et versions

hal-00589928 , version 1 (02-05-2011)

Identifiants

Citer

Maher Kachour, Lionel Truquet. A p-Order signed integer-valued autoregressive (SINAR(p)) model. Journal of Time Series Analysis, 2011, 32 (3), pp.223-236. ⟨10.1111/j.1467-9892.2010.00694.x⟩. ⟨hal-00589928⟩
123 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More