Journal of Statistical Theory and Practice

, Volume 6, Issue 4, pp 760–782 | Cite as

A Parametric Study for the First-Order Signed Integer-Valued Autoregressive Process

  • Christophe ChesneauEmail author
  • Maher Kachour


In recent years, many attempts have been made to find accurate models for integer-valued times series. The SINAR (for Signed INteger-valued AutoRegressive) process is one of the most interesting. Indeed, the SINAR model allows negative values both for the series and its autocorrelation function. In this paper, we focus on the simplest SINAR(1) model under some parametric assumptions. Explicitly, we give an implicit form of the stationary distribution for a known innovation. Simulation experiments and analysis of real data sets are carried out to attest to the model’s performance.


Integer-valued time series INAR models SINAR models Rademacher (p)-ℕ class Skellam distribution 

AMS Subject Classification

62M10 62M20 


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Copyright information

© Grace Scientific Publishing 2012

Authors and Affiliations

  1. 1.Laboratoire de Mathématiques Nicolas OresmeUniversité de Caen Basse-NormandieCaenFrance
  2. 2.École supérienre de commerce IDRACLyonFrance

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