Self-exciting threshold binomial autoregressive processes

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DC Field	Value	Language
dc.creator	Moeller, TA
dc.creator	Silva, ME
dc.creator	Weiss, CH
dc.creator	Scotto, MG
dc.creator	Pereira, I
dc.date.accessioned	2022-09-11T23:47:46Z	-
dc.date.available	2022-09-11T23:47:46Z	-
dc.date.issued	2016-10-01
dc.identifier.issn	1863-8171
dc.identifier.other	sigarra:114304
dc.identifier.uri	https://hdl.handle.net/10216/88556	-
dc.description.abstract	We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645â 650, 1985. doi:10.1111/j.1752-1688.1985.tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany. Â(c) 2015 Springer-Verlag Berlin Heidelberg
dc.language.iso	eng
dc.rights	openAccess
dc.title	Self-exciting threshold binomial autoregressive processes
dc.type	Artigo em Revista Científica Internacional
dc.contributor.uporto	Faculdade de Economia
dc.identifier.doi	10.1007/s10182-015-0264-6
dc.identifier.authenticus	P-00K-10N
Appears in Collections:	FEP - Artigo em Revista Científica Internacional

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