Forthcoming

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

Accepted: February 2022

Authors

  • Bogdan A. Pirković University of Kragujevac
  • Miroslav M. Ristić University of Niš
  • Aleksandar S. Nastić University of Niš

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.

Published

2022-02-08

How to Cite

Pirković , B. A., Ristić, M. M., & Nastić, A. S. (2022). Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions: Accepted: February 2022. REVSTAT-Statistical Journal. Retrieved from https://revstat.ine.pt/index.php/REVSTAT/article/view/430

Issue

Section

Forthcoming Paper