期刊名称：Brazilian Journal of Probability and Statistics
印刷版ISSN：0103-0752
出版年度：2018
卷号：32
期号：1
页码：147-171
DOI：10.1214/16-BJPS335
语种：English
出版社：Brazilian Statistical Association
摘要：This paper presents a modification and, at the same time, a generalization of the linear first order nonnegative integer-valued autoregressive processes, well-known as INAR(1) processes. By using the so-called Noise-Indicator, a nonlinear model with the threshold regime and with more complex structure than the appropriate linear models was obtained. The new model, named NIINAR(1) process, has been investigated in terms of the most general, the power series distribution of its innovations. Basic stochastic properties of the NIINAR(1) model (e.g., correlation structure, over-dispersion conditions and distributional properties) are given. Also, besides of some standard parameters estimators, a novel estimation techniques, together with the asymptotic properties of the obtained estimates is described. At last, a Monte Carlo study of this process is also given, as well as its application in the analysis of dynamics of two empirical dataset.
