A mixed BAR(1) model driven by serially dependent innovation with application

Abstract

To better analyze dependent count data with bounded support, this paper proposes a first-order mixture binomial autoregressive (BAR(1)) model, which is constructed via making use of the Pegram operator, where the innovation processes are assumed to be serially dependent to the observation rather than independent. The new model not only inherits the advantages of existing mixture BAR(1) models while also overcoming their shortcomings, but also does well in explaining binomial overdispersion and zero inflation. We infer various statistical properties of the process, including conditional moments, moments and autocovariance functions. The EM algorithm is employed to calculate the conditional maximum likelihood estimate. To evaluate the performance of obtained estimates, some simulation studies are conducted. Furthermore, the forecasting problem for the proposed model is also discussed. To show the applicability of our model, an application to proposition data set is conducted and we compare our model to some competitive integer-valued time series models with bounded support.