Self-exciting threshold binomial autoregressive processes
Data(s) |
06/10/2016
01/10/2016
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Resumo |
We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645–650, 1985. doi:10.1111/j.1752-1688.1985. tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany. |
Identificador |
1863-818X |
Idioma(s) |
eng |
Publicador |
Springer |
Relação |
FCT - UID/MAT/04106/2013 http://dx.doi.org/10.1007/s10182-015-0264-6 |
Direitos |
restrictedAccess |
Palavras-Chave | #Thinning operation #Threshold models #Binomial models #Count processes |
Tipo |
article |