Random Environment INAR Models of Higher Order

Aleksandar S. Nastić; Petra N. Laketa; Miroslav M. Ristić

doi:10.57805/revstat.v17i1.258

Random Environment INAR Models of Higher Order

Authors

Aleksandar S. Nastić University of Niš
Petra N. Laketa University of Niš
Miroslav M. Ristić University of Niš

DOI:

https://doi.org/10.57805/revstat.v17i1.258

Keywords:

random environment, INAR(p), RrNGINAR, negative binomial thinning, geometric marginals

Abstract

Two different random environment INAR models of higher order, RrNGINARmax(p) and RrNGINAR1(p), are introduced. Both of them are of variable order, which is not a random variable. Each step order is defined using the random environment process. Properties of the defined models are analyzed in parallel. The conditional expectation and variance are calculated. The strongly consistent Yule-Walker estimators are defined and new modified estimators are given. Models are applied to the simulated and the real-life data and the results show benefits of the introduced models.

Downloads

REVSTAT2019v17n1_3

Published

2019-01-31

How to Cite

S. Nastić , A., N. Laketa , P., & M. Ristić , M. (2019). Random Environment INAR Models of Higher Order. REVSTAT-Statistical Journal, 17(1), 35–65. https://doi.org/10.57805/revstat.v17i1.258