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 Journal of Statistics and Management Systems cover
Hybrid ·Peer-reviewed·ISSN (Online): 2169-0014·ISSN (Print): 0972-0510

Monthly Journal: Publishes peer-reviewed aticles on theoretical and applied statistics and management systems, expoloring industrial statistics, actuarial and decision sciences.

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Open Access Research Article

NBINAR(1) process defined with Poisson-weighted exponential innovations

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pp. 455–470Vol. 28Issue 3April 2025DOI: 10.47974/JSMS-1328XML
Received:
05 Sep 2023
Published Online:
01 Mar 2025
Article type:
Research Article
Language:
EN
Article no.:
JSMS-1328
Pages:
455–470

Abstract

In this paper, we present a new integer-valued time series model based on Poisson-weighted exponential innovations and a negative binomial thinning operator. One of its notable characteristics is its ability to handle over-dispersed integer-valued time series. Two different approaches are employed for estimating the related parameters. Furthermore, simulation tests are carried out to demonstrate the accuracy of these approaches. Finally, we compare our model with fair competitors using some count time series data and show that it is statistically superior.

Keywords

Subject Classifications

62M1062M05

References

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