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Integer-Valued Moving Average Models with Structural Changes

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  • Kaizhi Yu
  • Hong Zou
  • Daimin Shi

Abstract

It is frequent to encounter integer-valued time series which are small in value and show a trend having relatively large fluctuation. To handle such a matter, we present a new first order integer-valued moving average model process with structural changes. The models provide a flexible framework for modelling a wide range of dependence structures. Some statistical properties of the process are discussed and moment estimation is also given. Simulations are provided to give additional insight into the finite sample behaviour of the estimators.

Suggested Citation

  • Kaizhi Yu & Hong Zou & Daimin Shi, 2014. "Integer-Valued Moving Average Models with Structural Changes," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-5, July.
    • Handle: RePEc:hin:jnlmpe:231592
    DOI: 10.1155/2014/231592
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