Integer-valued Autoregressive Moving Average Models
ABSTRACT:
A stochastic process X(t) is INAR(1) if there exists a sequence Z(t)
of iid non-negative integer-valued random variables and a sequence
Y(t,i) of iid Bernoulli random variables independent of Z(t) such that
X(t)=sum{i=1..X(t-1)}Y(t,i)+Z(t)
This process has many properties similar to the AR(1) process. It has
extensions to INARMA(p,q) processes. The INAR(1) process also has branching
process and queueing interpretations. Some properties of such
processes will be discussed.
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References
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