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A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series

A new integer-valued moving average model is introduced. The assumption of independent counting series in the model is relaxed to allow dependence between them, leading to the overdispersion in the model. Statistical properties were established for this new integer-valued moving average model with d...

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Detalles Bibliográficos
Autores principales: Yu, Kaizhi, Wang, Huiqiao
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8228763/
https://www.ncbi.nlm.nih.gov/pubmed/34199644
http://dx.doi.org/10.3390/e23060706
Descripción
Sumario:A new integer-valued moving average model is introduced. The assumption of independent counting series in the model is relaxed to allow dependence between them, leading to the overdispersion in the model. Statistical properties were established for this new integer-valued moving average model with dependent counting series. The Yule–Walker method was applied to estimate the model parameters. The estimator’s performance was evaluated using simulations, and the overdispersion test of the INMA(1) process was applied to examine the dependence between counting series.