TY - JOUR
AU - Pirković , Bogdan A.
AU - Ristić, Miroslav M.
AU - Nastić, Aleksandar S.
PY - 2023/11/09
Y2 - 2023/11/29
TI - Random Environment Integer-Valued Autoregressive Process with Discrete Laplace Marginal Distributions
JF - REVSTAT-Statistical Journal
JA - REVSTAT
VL - 21
IS - 4
SE - Article
DO - 10.57805/revstat.v21i4.430
UR - https://revstat.ine.pt/index.php/REVSTAT/article/view/430
SP - 469–490
AB - <p>A new random environment integer-valued autoregressive process of order 1 with discrete Laplace marginal distributions and with <em>r</em> states (abbrev. RrDLINAR<sub>1</sub>(<em>M</em>, <em>A</em>)) 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 RrDLINAR<sub>1</sub>(<em>M</em>, <em>A</em>) 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.</p>
ER -