Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective

Matheus B. Guerrero, Wagner Barreto-Souza, Hernando Ombao

Research output: Contribution to journalArticlepeer-review

Abstract

Integer-valued autoregressive (INAR) processes are generally defined by specifying the thinning operator and either the innovations or the marginal distributions. The major limitations of such processes include difficulties in deriving the marginal properties and justifying the choice of the thinning operator. To overcome these drawbacks, we propose a novel approach for building an INAR model that offers the flexibility to prespecify both marginal and innovation distributions. Thus, the thinning operator is no longer subjectively selected but is rather a direct consequence of the marginal and innovation distributions specified by the modeler. Novel INAR processes are introduced following this perspective; these processes include a model with geometric marginal and innovation distributions (Geo-INAR) and models with bounded innovations. We explore the Geo-INAR model, which is a natural alternative to the classical Poisson INAR model. The Geo-INAR process has interesting stochastic properties, such as MA(∞) representation, time reversibility, and closed forms for the hth-order transition probabilities, which enables a natural framework to perform coherent forecasting. To demonstrate the real-world application of the Geo-INAR model, we analyze a count time series of criminal records in sex offenses using the proposed methodology and compare it with existing INAR and integer-valued generalized autoregressive conditional heteroscedastic models.
Original languageEnglish (US)
Pages (from-to)1-21
Number of pages21
JournalStochastic Models
DOIs
StatePublished - Sep 26 2021

ASJC Scopus subject areas

  • Modeling and Simulation
  • Applied Mathematics
  • Statistics and Probability

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