FORECASTING IN INAR(1) MODEL

• Tipo: Artigo em Revista Científica Internacional
• Data: 2009

Autores

silva, n (Autor) Outra; pereira, i (Autor) Outra; silva, me (Autor) FCUP

Revista

Título: Revstat Statistical Journal

Vol. 7 Nº 2

Páginas: 119-134

ISSN: 1645-6726

Editora: Instituto Nacional De Estatistica

Indexação

ISI Web of Knowledge - 21 Citações

Classificação Científica

FOS: Ciências exactas e naturais > Matemática

Outras Informações

ID Authenticus: 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.

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 16