Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions

Bogdan A. Pirković; Miroslav M. Ristić; Aleksandar S. Nastić

doi:10.57805/revstat.v21i4.430

Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions

Authors

Bogdan A. Pirković University of Kragujevac https://orcid.org/0000-0003-3546-2750
Miroslav M. Ristić University of Niš
Aleksandar S. Nastić University of Niš

DOI:

https://doi.org/10.57805/revstat.v21i4.430

Keywords:

random environment, INAR(1), RrDLINAR1(M;A), DLINAR(1), discrete Laplace distribution

Abstract

A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with r states (abbrev. RrDLINAR₁(M, A)) is introduced. It is shown that this process is distributed as a difference of two independent generalized random environment integer-valued autoregressive processes, when their orders are equal to 1. Other distributional and correlation properties of the RrDLINAR₁(M, A) process are discussed. Strongly consistent Yule-Walker estimates are defined. The method of moments is implemented for different cases of simulated samples. Finally, the proposed model is applied to real-life data and the obtained results show its effectiveness.

Downloads

REVSTAT2023v21n4_2

Published

2023-11-09

How to Cite

Pirković , B. A., Ristić, M. M., & Nastić, A. S. (2023). Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions. REVSTAT-Statistical Journal, 21(4), 469–490. https://doi.org/10.57805/revstat.v21i4.430