ESTIMATION AND FORECASTING IN SUINAR(1) MODEL

• Type: Article in International Scientific Journal
• Date: 2008

Authors

silva, n (Author) Other; pereira, i (Author) Other; silva, me (Author) FCUP

Journal

Title: Revstat Statistical Journal

Vol. 6 No. 3

Pages: 253-277

ISSN: 1645-6726

Publisher: Instituto Nacional De Estatistica

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ISI Web of Knowledge - 8 Citations

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Scientific classification

FOS: Natural sciences > Mathematics

CORDIS: Physical sciences > Mathematics > Statistics

Other information

Authenticus ID: P-003-VCP

Abstract (EN): This work considers a generalization of the INAR(1) model to the panel data first order Seemingly Unrelated INteger AutoRegressive Poisson model, SUINAR(1). It presents Bayesian and classical methodologies to estimate the parameters of Poisson SUINAR(1) model and to forecast future observations of the process. In particular, prediction intervals for forecasts - classical approach - and HPD prediction intervals - Bayesian approach - are derived. A simulation study is provided to give additional insight into the finite sample behaviour of the parameter estimates and forecasts.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 25