The max-BARMA models for counts with bounded support

In this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis and Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic p...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Statistics & probability letters Jg. 143; S. 28 - 36
Hauptverfasser: Weiß, Christian H., Scotto, Manuel G., Möller, Tobias A., Gouveia, Sónia
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Elsevier B.V 01.12.2018
Schlagworte:
Autoregressive moving-average processes
Finite counts
Thinning operator
Autoregressive moving-average processes
Finite counts
Thinning operator
ISSN:0167-7152, 1879-2103
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:In this note, we introduce a discrete counterpart of the conventional max-autoregressive moving-average process of Davis and Resnick (1989), based on the binomial thinning operator and driven by a sequence of i. i. d. nonnegative integer-valued random variables with a finite range of counts. Basic probabilistic and statistical properties of this new class of models are discussed in detail, namely the existence of a stationary distribution, and how observations’ and innovations’ distributions are related to each other. Furthermore, parameter estimation is also addressed.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2018.07.011