The approximation of GSTAR model for discrete cases through INAR model

Abstract

Modelling non-negative discrete valued for time series analysis was introduced by previous researchers, that is Integer-Valued Autoregressive (INAR) model. The model involves both the parameter index and state space are discrete. Various phenomena within the scope of discrete cases are not only affected by previous discrete observations, but also affected by the discrete observations at surrounding locations in previous time. As a result, this model involves two parameter indices namely time and space, and also state space which are discrete. In continuous cases, a model has been introduced to overcome this problem, namely Generalized Space Time Autoregressive (GSTAR) model (discrete parameter index and continuous state space). Using this model to solve the discrete case produces a continuous forecast value, so it needs a discretization process. In the time series model for discrete cases, thinning operators have been introduced as a substitute for discretization in a continuous time series. The thinning operator paradigm in the discrete time series will be developed in the space-time model proposed in this paper. This paper will also introduce a new model, namely a space-time model for cases related to discrete cases. This means that the index of time and location parameters, as well as the state space used is a discrete state space. The properties that apply to the model are adopted from the INAR model and the GSTAR model for continuous cases. The main focus of this paper is the development of thinning operators from time series to space-time models. This paper also provides a modeling procedure using the GSTAR model for discrete cases. The result of this paper is the formation of a GSTAR model with a discrete state space.