Self-exciting threshold binomial autoregressive processes
We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645â 650, 1985. doi:10.1111/j.1752-1688.1985.tb05379.x). Basic probabilistic and statistical properties of this...
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| Outros Autores: | , , , |
| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | https://hdl.handle.net/10216/88556 |
| País: | Portugal |
| Oai: | oai:repositorio-aberto.up.pt:10216/88556 |
| Resumo: | We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645â 650, 1985. doi:10.1111/j.1752-1688.1985.tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany. Â(c) 2015 Springer-Verlag Berlin Heidelberg |
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