- Tytuł:
- Binomial ARMA count series from renewal processes
- Autorzy:
-
Koshkin, Sergiy
Cui, Yunwei - Powiązania:
- https://bibliotekanauki.pl/articles/729904.pdf
- Data publikacji:
- 2012
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
integer-valued time series
stochastic difference equations
autoregressive moving average
renewal process
lifetime distribution
probability generating function
palindromic polynomial
constant hazard rate - Opis:
- This paper describes a new method for generating stationary integer-valued time series from renewal processes. We prove that if the lifetime distribution of renewal processes is nonlattice and the probability generating function is rational, then the generated time series satisfy causal and invertible ARMA type stochastic difference equations. The result provides an easy method for generating integer-valued time series with ARMA type autocovariance functions. Examples of generating binomial ARMA(p,p-1) series from lifetime distributions with constant hazard rates after lag p are given as an illustration.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2012, 32, 1-2; 5-16
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł