Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions

Bibliographic Details
Main Author: Pirković , Bogdan A.
Publication Date: 2023
Other Authors: Ristić, Miroslav M., Nastić, Aleksandar S.
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: https://doi.org/10.57805/revstat.v21i4.430
Summary: A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. RrDLINAR1(M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the RrDLINAR1(M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness.
id RCAP_dfc35a3f3c8102bb9d2bdda8531045d2
oai_identifier_str oai:revstat:article/430
network_acronym_str RCAP
network_name_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository_id_str https://opendoar.ac.uk/repository/7160
spelling Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributionsrandom environmentINAR(1)RrDLINAR1(M;A)DLINAR(1)discrete Laplace distributionA new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. RrDLINAR1(M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the RrDLINAR1(M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness.Statistics Portugal2023-11-09info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://doi.org/10.57805/revstat.v21i4.430https://doi.org/10.57805/revstat.v21i4.430REVSTAT-Statistical Journal; Vol. 21 No. 4 (2023): REVSTAT-Statistical Journal; 469–490REVSTAT; Vol. 21 N.º 4 (2023): REVSTAT-Statistical Journal; 469–4902183-03711645-6726reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAPenghttps://revstat.ine.pt/index.php/REVSTAT/article/view/430https://revstat.ine.pt/index.php/REVSTAT/article/view/430/663Pirković , Bogdan A.Ristić, Miroslav M.Nastić, Aleksandar S.info:eu-repo/semantics/openAccess2023-11-11T06:30:21Zoai:revstat:article/430Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T11:14:48.376561Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
title Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
spellingShingle Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
Pirković , Bogdan A.
random environment
INAR(1)
RrDLINAR1(M;A)
DLINAR(1)
discrete Laplace distribution
title_short Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
title_full Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
title_fullStr Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
title_full_unstemmed Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
title_sort Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
author Pirković , Bogdan A.
author_facet Pirković , Bogdan A.
Ristić, Miroslav M.
Nastić, Aleksandar S.
author_role author
author2 Ristić, Miroslav M.
Nastić, Aleksandar S.
author2_role author
author
dc.contributor.author.fl_str_mv Pirković , Bogdan A.
Ristić, Miroslav M.
Nastić, Aleksandar S.
dc.subject.por.fl_str_mv random environment
INAR(1)
RrDLINAR1(M;A)
DLINAR(1)
discrete Laplace distribution
topic random environment
INAR(1)
RrDLINAR1(M;A)
DLINAR(1)
discrete Laplace distribution
description A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. RrDLINAR1(M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the RrDLINAR1(M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness.
publishDate 2023
dc.date.none.fl_str_mv 2023-11-09
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://doi.org/10.57805/revstat.v21i4.430
https://doi.org/10.57805/revstat.v21i4.430
url https://doi.org/10.57805/revstat.v21i4.430
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://revstat.ine.pt/index.php/REVSTAT/article/view/430
https://revstat.ine.pt/index.php/REVSTAT/article/view/430/663
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Statistics Portugal
publisher.none.fl_str_mv Statistics Portugal
dc.source.none.fl_str_mv REVSTAT-Statistical Journal; Vol. 21 No. 4 (2023): REVSTAT-Statistical Journal; 469–490
REVSTAT; Vol. 21 N.º 4 (2023): REVSTAT-Statistical Journal; 469–490
2183-0371
1645-6726
reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
_version_ 1833591726006075392

Similar Items