Modelling Overdispersion with Integer-Valued Moving Average Processes

• Type: Article in International Conference Proceedings Book
• Date: 2019

Authors

Maria Eduarda Silva (Author) FEP; Isabel Silva (Author) FEUP; Cristina Torres (Author) Other

Conference proceedings International

Title: Springer Proceedings in Mathematics and Statistics

Pages: 291-303

14th Workshop on Stochastic Models, Statistics and their Applications, SMSA 2019

6 March 2019 through 8 March 2019

Indexing

Scopus - 1 Citation

Other information

Authenticus ID: P-00R-4R1

DOI: 10.1007/978-3-030-28665-1_21

Abstract (EN): A new first-order integer-valued moving average, INMA(1), model based on the negative binomial thinning operation defined by Risti¿ et al. [21] is proposed and characterized. It is shown that this model has negative binomial (NB) marginal distribution when the innovations follow an NB distribution and therefore it can be used in situations where the data present overdispersion. Additionally, this model is extended to the bivariate context. The Generalized Method of Moments (GMM) is used to estimate the unknown parameters of the proposed models and the results of a simulation study that intends to investigate the performance of the method show that, in general, the estimates are consistent and symmetric. Finally, the proposed model is fitted to a real dataset and the quality of the adjustment is evaluated. © 2019, Springer Nature Switzerland AG.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 13