Modelling Overdispersion with Integer-Valued Moving Average Processes
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 est...
