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- Publisher Website: 10.3182/20090706-3-FR-2004.0373
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Conference Paper: An application of the RINAR(1) process
Title | An application of the RINAR(1) process |
---|---|
Authors | |
Keywords | Inar Models Integer-Valued Time Series Least Squares Estimator Rinar(1) Model Rounding Operator |
Issue Date | 2009 |
Citation | Ifac Proceedings Volumes (Ifac-Papersonline), 2009, v. 15 PART 1, p. 1441-1444 How to Cite? |
Abstract | We introduce a new class of autoregressive models for integervalued time series using the rounding operator. Compared to classical INAR models based on the thinning operator, the new models have several advantages: simple innovation structure; autoregressive coefficients with arbitrary signs; possible negative values for time series; possible negative values for the autocorrelation function. Focused on the first order RINAR(1) model, we give conditions for its ergodicity and stationarity. For parameter estimation, a least squares estimator is introduced and we prove its consistency under suitable identifiability condition. An analysis of real data set is carried out to access the performance of the model. © 2009 IFAC. |
Persistent Identifier | http://hdl.handle.net/10722/173564 |
ISSN | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kachour, M | en_US |
dc.contributor.author | Yao, JF | en_US |
dc.date.accessioned | 2012-10-30T06:33:12Z | - |
dc.date.available | 2012-10-30T06:33:12Z | - |
dc.date.issued | 2009 | en_US |
dc.identifier.citation | Ifac Proceedings Volumes (Ifac-Papersonline), 2009, v. 15 PART 1, p. 1441-1444 | en_US |
dc.identifier.issn | 1474-6670 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/173564 | - |
dc.description.abstract | We introduce a new class of autoregressive models for integervalued time series using the rounding operator. Compared to classical INAR models based on the thinning operator, the new models have several advantages: simple innovation structure; autoregressive coefficients with arbitrary signs; possible negative values for time series; possible negative values for the autocorrelation function. Focused on the first order RINAR(1) model, we give conditions for its ergodicity and stationarity. For parameter estimation, a least squares estimator is introduced and we prove its consistency under suitable identifiability condition. An analysis of real data set is carried out to access the performance of the model. © 2009 IFAC. | en_US |
dc.language | eng | en_US |
dc.relation.ispartof | IFAC Proceedings Volumes (IFAC-PapersOnline) | en_US |
dc.subject | Inar Models | en_US |
dc.subject | Integer-Valued Time Series | en_US |
dc.subject | Least Squares Estimator | en_US |
dc.subject | Rinar(1) Model | en_US |
dc.subject | Rounding Operator | en_US |
dc.title | An application of the RINAR(1) process | en_US |
dc.type | Conference_Paper | en_US |
dc.identifier.email | Yao, JF: jeffyao@hku.hk | en_US |
dc.identifier.authority | Yao, JF=rp01473 | en_US |
dc.description.nature | link_to_subscribed_fulltext | en_US |
dc.identifier.doi | 10.3182/20090706-3-FR-2004.0373 | en_US |
dc.identifier.scopus | eid_2-s2.0-80051625412 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-80051625412&selection=ref&src=s&origin=recordpage | en_US |
dc.identifier.volume | 15 | en_US |
dc.identifier.issue | PART 1 | en_US |
dc.identifier.spage | 1441 | en_US |
dc.identifier.epage | 1444 | en_US |
dc.identifier.scopusauthorid | Kachour, M=27867821400 | en_US |
dc.identifier.scopusauthorid | Yao, JF=7403503451 | en_US |
dc.identifier.issnl | 1474-6670 | - |