Abstract
In this paper, we introduce a class of periodic negative binomial self-exciting threshold integer-valued autoregressive model. The basic probabilistic and statistical properties of this class are studied. Furthermore, the existence of a high moment and the strict periodic stationarity as well as the ergodicity, are established. The periodic autocovariance structure is also considered. The Conditional Least Squares (CLS) and the Conditional Maximum Likelihood (CML) methods are applied to estimate the underlying parameters, while using the periodic adaptation of the Nested Sub-Sample Search (NeSS) algorithm, to estimate the periodic threshold parameter. The asymptotic properties of the estimators are obtained. The performance of the CLS and the CML are compared through an intensive simulation study. An application on a real data set is provided.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
More From: Communications in Statistics - Simulation and Computation
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.