Existence of a periodic and seasonal INAR process - CentraleSupélec
Article Dans Une Revue Journal of Time Series Analysis Année : 2024

Existence of a periodic and seasonal INAR process

Résumé

A spectral criterion involving the model parameters is given for the existence and uniqueness of a periodically correlated and seasonal non‐negative integer‐valued autoregressive process. The structure of the mean and covariance functions of the periodically stationary distribution of the model is derived using its implicit state‐space representation. Two infinite series representations for the process, the moving average, and the immigrant generation, are established. Based on the latter representation, a novel and parallelizable simulation method is proposed to generate the process.
Fichier principal
Vignette du fichier
Existence of a periodic and seasonal INAR process.pdf (1.16 Mo) Télécharger le fichier
jtsa12746-sup-0001-supinfo.pdf (619.7 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04581441 , version 1 (23-05-2024)

Identifiants

Citer

Márton Ispány, Pascal Bondon, Valdério Anselmo Reisen, Paulo Roberto Prezotti Filho. Existence of a periodic and seasonal INAR process. Journal of Time Series Analysis, 2024, ⟨10.1111/jtsa.12746⟩. ⟨hal-04581441⟩
69 Consultations
35 Téléchargements

Altmetric

Partager

More