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arXiv · 1609.01910

Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation

Paolo Gorgi
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Abstract

A new class of integer-valued autoregressive models with dynamic survival probability is proposed. The peculiarity of this class of models lies on the specification of the survival probability through a stochastic recurrence equation. The estimation of the model can be performed by maximum likelihood and the consistency of the estimator is proved in a misspecified model setting. The flexibility of the proposed specification is illustrated in a simulation study. An application to a time series of crime reports is presented. The results show how the dynamic survival probability can enhance both in-sample and out-of-sample performances of integer-valued autoregressive models.

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Paolo Gorgi. 2016-09-07. Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation. https://arxiv.org/abs/1609.01910

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