FORECASTING IN INAR(1) MODEL

• Type: Article in International Scientific Journal
• Date: 2009

Authors

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

Journal

Title: Revstat Statistical Journal

Vol. 7 No. 2

Pages: 119-134

ISSN: 1645-6726

Publisher: Instituto Nacional De Estatistica

Indexing

ISI Web of Knowledge - 21 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-003-MC4

Abstract (EN): In this work we consider the problem of forecasting integer-valued time series, modelled by the INAR(1) process introduced by McKenzie (1985) and Al-Osh and Alzaid (1987). The theoretical properties and practical applications of INAR and related processes have been discussed extensively in the literature but there is still some discussion on the problem of producing coherent, i.e. integer-valued, predictions. Here Bayesian methodology is used to obtain point predictions as well as confidence intervals for future values of the process. The predictions thus obtained are compared with their classic counterparts. The proposed approaches are illustrated with a simulation study and a real example.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 16