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THE INTEGER‐VALUED AUTOREGRESSIVE (INAR(p)) MODEL

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  • Du Jin‐Guan
  • Li Yuan

Abstract

. The integer‐valued autoregressive (INAR) model with lag p dependence is discussed. The existence and ergodic property of the INAR model are proved. It is shown that the correlation structure of the INAR model is similar to that of the continuous‐valued autoregressive (AR) process, and the stationary conditions of INAR and AR processes are also the same.

Suggested Citation

  • Du Jin‐Guan & Li Yuan, 1991. "THE INTEGER‐VALUED AUTOREGRESSIVE (INAR(p)) MODEL," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(2), pages 129-142, March.
    • Handle: RePEc:bla:jtsera:v:12:y:1991:i:2:p:129-142
    DOI: 10.1111/j.1467-9892.1991.tb00073.x
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    Cited by:

    1. Annika Homburg & Christian H. Weiß & Layth C. Alwan & Gabriel Frahm & Rainer Göb, 2019. "Evaluating Approximate Point Forecasting of Count Processes," Econometrics, MDPI, vol. 7(3), pages 1-28, July.
    2. Harry Joe, 2019. "Likelihood Inference for Generalized Integer Autoregressive Time Series Models," Econometrics, MDPI, vol. 7(4), pages 1-13, October.
    3. Chen, Zezhun & Dassios, Angelos, 2022. "Cluster point processes and Poisson thinning INARMA," LSE Research Online Documents on Economics 113652, London School of Economics and Political Science, LSE Library.
    4. Carallo, Giulia & Casarin, Roberto & Robert, Christian P., 2024. "Generalized Poisson difference autoregressive processes," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1359-1390.
    5. R. K. Freeland & B. P. M. McCabe, 2004. "Analysis of low count time series data by poisson autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 701-722, September.
    6. Šárka Hudecová & Marie Hušková & Simos G. Meintanis, 2021. "Goodness–of–Fit Tests for Bivariate Time Series of Counts," Econometrics, MDPI, vol. 9(1), pages 1-20, March.
    7. Robert C. Jung & Andrew R. Tremayne, 2020. "Maximum-Likelihood Estimation in a Special Integer Autoregressive Model," Econometrics, MDPI, vol. 8(2), pages 1-15, June.
    8. Ovielt Baltodano Lopez & Federico Bassetti & Giulia Carallo & Roberto Casarin, 2022. "First-order integer-valued autoregressive processes with Generalized Katz innovations," Papers 2202.02029, arXiv.org, revised Dec 2024.
    9. Subhankar Chattopadhyay & Raju Maiti & Samarjit Das & Atanu Biswas, 2022. "Change‐point analysis through integer‐valued autoregressive process with application to some COVID‐19 data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 76(1), pages 4-34, February.

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