Coherent Forecasting in Binomial AR(p) ModelCoherent Forecasting in Binomial AR(p) Model
- Other Titles
- Coherent Forecasting in Binomial AR(p) Model
- Authors
- 김희영; 박유성
- Issue Date
- 2010
- Publisher
- 한국통계학회
- Keywords
- Binomial thinning; binomial AR(p) model; block-of-blocks bootstrap
- Citation
- Communications for Statistical Applications and Methods, v.17, no.1, pp.27 - 37
- Indexed
- KCI
- Journal Title
- Communications for Statistical Applications and Methods
- Volume
- 17
- Number
- 1
- Start Page
- 27
- End Page
- 37
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/117549
- ISSN
- 2287-7843
- Abstract
- This article concerns the forecasting in binomial AR(p) models which is proposed by WeiB (2009b) for time series of binomial counts.
Our method extends to binomial AR(p) models a recent result by Jung and Tremayne (2006) for integer-valued autoregressive model of second order, INAR(2), with simple Poisson innovations.
Forecasts are produced by conditional median which gives 'coherent' forecasts, and we estimate the forecast distributions of future values of binomial AR(p) models by means of a Monte Carlo method allowing for parameter uncertainty. Model parameters are estimated by the method of moments and estimated standard errors are calculated by means of block of block bootstrap.
The method is fitted to log data set used in WeiB (2009b).
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Collections - College of Public Policy > Division of Big Data Science > 1. Journal Articles
- College of Political Science & Economics > Department of Statistics > 1. Journal Articles
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