| Title:
|
A zero-inflated geometric INAR(1) process with random coefficient (English) |
| Author:
|
Bakouch, Hassan S. |
| Author:
|
Mohammadpour, Mehrnaz |
| Author:
|
Shirozhan, Masumeh |
| Language:
|
English |
| Journal:
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Applications of Mathematics |
| ISSN:
|
0862-7940 (print) |
| ISSN:
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1572-9109 (online) |
| Volume:
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63 |
| Issue:
|
1 |
| Year:
|
2018 |
| Pages:
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79-105 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Many real-life count data are frequently characterized by overdispersion, excess zeros and autocorrelation. Zero-inflated count time series models can provide a powerful procedure to model this type of data. In this paper, we introduce a new stationary first-order integer-valued autoregressive process with random coefficient and zero-inflated geometric marginal distribution, named ZIGINAR$_{\rm RC}(1)$ process, which contains some sub-models as special cases. Several properties of the process are established. Estimators of the model parameters are obtained and their performance is checked by a small Monte Carlo simulation. Also, the behavior of the inflation parameter of the model is justified. We investigate an application of the process using a real count climate data set with excessive zeros for the number of tornados deaths and illustrate the best performance of the proposed process as compared with a set of competitive INAR(1) models via some goodness-of-fit statistics. Consequently, forecasting for the data is discussed with estimation of the transition probability and expected run length at state zero. Moreover, for the considered data, a test of the random coefficient for the proposed process is investigated. (English) |
| Keyword:
|
randomized binomial thinning |
| Keyword:
|
geometric minima |
| Keyword:
|
estimation |
| Keyword:
|
likelihood ratio test |
| Keyword:
|
mixture distribution |
| Keyword:
|
realization with random size |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 06861543 |
| idMR:
|
MR3763983 |
| DOI:
|
10.21136/AM.2018.0082-17 |
| . |
| Date available:
|
2018-03-13T06:25:46Z |
| Last updated:
|
2020-07-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/147115 |
| . |
| Reference:
|
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