The purpose of this paper is to extend the class of \(A R(1)\) models introduced by Aly and Bouzar (1994) to more general \(A R M A\) models. As an application some new Poisson geometric, negative binomial, and Poisson logarithmic ARMA models are derived. 1994 Academic Press, Inc.
Estimation in integer-valued moving average models
✍ Scribed by Kurt Brännäs; Andreia Hall
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 165 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1524-1904
- DOI
- 10.1002/asmb.445
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
Let {X k } be a non-negative integer-valued stationary moving average sequence and deÿne Y k = X Tk as the sub-sampled series at a ÿxed integer interval T ¿ 1. We look at the limiting distribution of sample maxima of {Y k } and the corresponding extremal index.
Ai~truet--In prediction error (PE) identification of the parameter estimates is given by the global minimum of a scalar-valued function of the innovation sample covariance matrix. It may happen that the loss function has multiple local minimum points so that a numerical search routine can fail to fi