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1 results

  • An integer-valued pth-order autoregressive structure (INAR(p)) process

  • A. A. Alzaid, M. Al-osh
  • Journal:
    Journal of Applied Probability / Volume 27 / Issue 2 / June 1990
    Published online by Cambridge University Press:
    14 July 2016, pp. 314-324
    Print publication:
    June 1990

  • An extension of the INAR(1) process which is useful for modelling discrete-time dependent counting processes is considered. The model investigated here has a form similar to that of the Gaussian AR(p) process, and is called the integer-valued pth-order autoregressive structure (INAR(p)) process. Despite the similarity in form, the two processes differ in many aspects such as the behaviour of the correlation, Markovian property and regression. Among other aspects of the INAR(p) process investigated here are the limiting as well as the joint distributions of the process. Also, some detailed discussion is given for the case in which the marginal distribution of the process is Poisson.