Slide 16
Slide 16 text
INAR(1) process with serial and seasonal structure
Seasonal INAR({1,s}) model (I and Reisen (2014))
Zt =
Zt−1
j=1
ξt,j +
Zt−s
j=1
ηt,j + εt , t ∈ Z,
{ξt,j : t ∈ Z, j ∈ N}, {ηt,j : t ∈ Z, j ∈ N} and {εt : t ∈ Z} are
independent, non-negative, integer-valued, i.d. r.v.’s
ξ1,1
and η1,1
have Bernoulli distribution
s ∈ N denotes the seasonal period
Parameters: α := E ξ1,1
, φ := E η1,1
, λ := E ε1
Reformulation:
Zt = α ◦ Zt−1 + φ ◦ Zt−s + εt
Classification:
α + φ < 1
stable
α + φ = 1
unstable
α + φ > 1
explosive
Supélec January 30, 2015 Márton Ispány Poisson INAR processes with serial and seasonal correlation