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True Integer Valued Autoregressive Model with Skellam Distribution |
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PP: 435-447 |
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doi:10.18576/jsap/130130
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Author(s) |
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M. M. Gabr,
M. A. Darwish,
H. A. Hashem,
L. M. Fatehy,
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Abstract |
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| In the present article, we introduce a new true integer valued autoregressive model of order one TPDINAR(1) for data sets on Z and either positive or negative correlations based on the Poisson difference (Skellam) marginal distribution and using a random walk variable (It). Properties of the model are derived. We consider several methods for estimating the unknown parameters of the model, and their properties are discussed. Simulations are carried out for the performance of these estimators for illustrative purposes. Finally, the analysis of real life time series data is presented, and its performance is compared to two different INAR(1) models that may also be used over the observed data.
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