Please use this identifier to cite or link to this item: https://hdl.handle.net/10216/123002
Author(s): Maria Eduarda Silva
Isabel Silva
Torres, C
Title: Modelling Overdispersion with Integer-Valued Moving Average Processes
Issue Date: 2019
Abstract: 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. (c) 2019, Springer Nature Switzerland AG.
URI: https://hdl.handle.net/10216/123002
Source: Springer Proceedings in Mathematics and Statistics
Document Type: Artigo em Livro de Atas de Conferência Internacional
Rights: openAccess
Appears in Collections:FEP - Artigo em Livro de Atas de Conferência Internacional
FEUP - Artigo em Livro de Atas de Conferência Internacional

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