Integer-valued self-exciting periodic threshold autoregressive processes
In this paper, the periodic self-exciting threshold integer-valued autoregressive model of order one with period $T$ driven by a periodic sequence of independent Poisson-distributed random variables is introduced and analyzed in detail. Basic probabilistic and statistical properties of the model are...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10773/15019 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/15019 |