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Modelling with the Novel INAR(1)-PTE Process

Abstract

In this paper, the first-order non-negative integer-valued autoregressive process with Poisson-transmuted exponential innovations is introduced. Three estimation methods, namely, the conditional maximum likelihood, conditional least squares and Yule-Walker estimation methods are discussed to estimate the unknown parameters of the proposed process. Additionally, the simulation study is presented to assess the efficiencies of these estimation methods. Applications to two real-life data sets illustrate the usefulness of the proposed process.

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Correspondence to Emrah Altun.

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Altun, E., Khan, N.M. Modelling with the Novel INAR(1)-PTE Process. Methodol Comput Appl Probab (2021). https://doi.org/10.1007/s11009-021-09878-2

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Keywords

  • Poisson-transmuted exponential distribution
  • INAR(1) process
  • Conditional maximum likelihood
  • Binomial thinning
  • Over-dispersion

Mathematics Subject Classification (2010)

  • 62E15