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February 2016 An INAR model with discrete Laplace marginal distributions
Aleksandar S. Nastić, Miroslav M. Ristić, Miodrag S. Djordjević
Braz. J. Probab. Stat. 30(1): 107-126 (February 2016). DOI: 10.1214/14-BJPS262

Abstract

In this paper, we first introduce a new thinning operator and derive some of its properties. Then, by using the thinning operator we define a new stationary time series with discrete Laplace marginal distributions with either positive or negative lag-one autocorrelation. We show that this time series is distributed as the difference of two independent $\operatorname{NGINAR} (1)$ time series and, using this fact, we discuss some of its properties. The Yule–Walker estimators for the unknown parameters are derived and their asymptotic properties are discussed.

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Aleksandar S. Nastić. Miroslav M. Ristić. Miodrag S. Djordjević. "An INAR model with discrete Laplace marginal distributions." Braz. J. Probab. Stat. 30 (1) 107 - 126, February 2016. https://doi.org/10.1214/14-BJPS262

Information

Received: 1 December 2013; Accepted: 1 September 2014; Published: February 2016
First available in Project Euclid: 19 January 2016

zbMATH: 1381.62252
MathSciNet: MR3453517
Digital Object Identifier: 10.1214/14-BJPS262

Rights: Copyright © 2016 Brazilian Statistical Association

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Vol.30 • No. 1 • February 2016
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