Integer-valued self-exciting threshold autoregressive processes
In this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Sp...
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| Other Authors: | , |
| Format: | article |
| Language: | eng |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10773/9303 |
| Country: | Portugal |
| Oai: | oai:ria.ua.pt:10773/9303 |