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

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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Bibliographic Details
Main Authors: Kaizhi Yu, Huiqiao Wang
Format: Article
Language:English
Published: MDPI AG 2021-06-01
Series:Entropy
Subjects:
integer-valued moving average model
counting series
dispersion test
Online Access:https://www.mdpi.com/1099-4300/23/6/706
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spelling doaj-9fa70748de754bb0a1111c9e48345b072021-06-30T23:09:31ZengMDPI AGEntropy1099-43002021-06-012370670610.3390/e23060706A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting SeriesKaizhi Yu0Huiqiao Wang1School of Statistics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaSchool of Statistics, Southwestern University of Finance and Economics, Chengdu 611130, ChinaA 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.https://www.mdpi.com/1099-4300/23/6/706integer-valued moving average modelcounting seriesdispersion test
collection DOAJ
language English
format Article
sources DOAJ
author Kaizhi Yu
Huiqiao Wang
spellingShingle Kaizhi Yu
Huiqiao Wang
A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
Entropy
integer-valued moving average model
counting series
dispersion test
author_facet Kaizhi Yu
Huiqiao Wang
author_sort Kaizhi Yu
title A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
title_short A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
title_full A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
title_fullStr A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
title_full_unstemmed A New Overdispersed Integer-Valued Moving Average Model with Dependent Counting Series
title_sort new overdispersed integer-valued moving average model with dependent counting series
publisher MDPI AG
series Entropy
issn 1099-4300
publishDate 2021-06-01
description 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.
topic integer-valued moving average model
counting series
dispersion test
url https://www.mdpi.com/1099-4300/23/6/706
work_keys_str_mv AT kaizhiyu anewoverdispersedintegervaluedmovingaveragemodelwithdependentcountingseries
AT huiqiaowang anewoverdispersedintegervaluedmovingaveragemodelwithdependentcountingseries
AT kaizhiyu newoverdispersedintegervaluedmovingaveragemodelwithdependentcountingseries
AT huiqiaowang newoverdispersedintegervaluedmovingaveragemodelwithdependentcountingseries
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