PREDICTION MEAN SQUARED ERROR OF THE POISSON INAR(1) PROCESSWITH ESTIMATED PARAMETERS
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 김희영 | - |
dc.contributor.author | YOUSUNG PARK | - |
dc.date.accessioned | 2021-09-09T17:58:05Z | - |
dc.date.available | 2021-09-09T17:58:05Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2006 | - |
dc.identifier.issn | 1226-3192 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/125966 | - |
dc.description.abstract | Recently, as a result of the growing interest in modeling stationary pro-cesses with discrete marginal distributions, several models for integer valuedtime series have been proposed in the literature. One of these models isthe integer-valued autoregressive (INAR) models. However, when modelingwith integer-valued autoregressive processes, the distributional propertiesof forecasts have been not yet discovered due to the diculty in handlingthe Steutal Van Harn thinning operator \ "(Steutal and van Harn, 1979).In this study, we derive the mean squared error ofh-step-ahead predictionfrom a Poisson INAR(1) process, reecting the eect of the variability ofparameter estimates in the prediction mean squared error.AMS 2000 subject classications.Primary 60G10; Secondary 37M10.Keywords.Stationary process, integer valued time series, mean-squared pre-diction errors.1. IntroductionThere has been a growing research in modeling discrete time stationary pro-cesses with discrete marginal distributions. The usual linear models for timeseries, ARMA models, are suitable for modeling stationary dependent sequencesunder the Gaussian assumption. However, the Gaussian assumption is often inap-propriate for modeling counting data. Thus, motivated by the need for modelingcorrelated series of counts, several models for integer-valued time series have beenproposed in the literature.Received January 2006; accepted February 2006.1Corresponding author. Institute of Statistics, Korea University, Seoul 136-701, Korea (e-mail : starkim@korea.ac.kr) | - |
dc.publisher | 한국통계학회 | - |
dc.title | PREDICTION MEAN SQUARED ERROR OF THE POISSON INAR(1) PROCESSWITH ESTIMATED PARAMETERS | - |
dc.title.alternative | PREDICTION MEAN SQUARED ERROR OF THE POISSON INAR(1) PROCESSWITH ESTIMATED PARAMETERS | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 김희영 | - |
dc.identifier.bibliographicCitation | Journal of the Korean Statistical Society, v.35, no.1, pp.37 - 47 | - |
dc.relation.isPartOf | Journal of the Korean Statistical Society | - |
dc.citation.title | Journal of the Korean Statistical Society | - |
dc.citation.volume | 35 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 37 | - |
dc.citation.endPage | 47 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART001111885 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
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