Isabel Silva Magalhães Integer-valued time series

Integer-valued time series
Isabel Silva Magalhães
Departamento de Engenharia Civil, Faculdade de Engenharia da Universidade do Porto
Unidade de Investigação Matemática e Aplicações (UIMA), Universidade de Aveiro
PDMA-UP - October 2009
PDMA-UP - October 2009 1 / 30
Isabel Silva Magalhães Integer-valued time series
Outline
Motivation
Thinning operation
INteger-valued AutoRegressive (INAR) processes

INAR(1) processes

INAR(p) processes
Parameter estimation for INAR(p) processes
Application to real data
Recent developments
Theme proposal
PDMA-UP - October 2009 2 / 30
Isabel Silva Magalhães Integer-valued time series
Motivation
Discrete time non-negative integer-valued time series →counting series
Motivation PDMA-UP - October 2009 3 / 30
Isabel Silva Magalhães Integer-valued time series
Motivation
Discrete time non-negative integer-valued time series →counting series
Examples:
the daily number of seizures of epileptic patients
the yearly number of plants in a region
the daily number of guest nights in a hotel
the monthly incidence of a disease.
Motivation PDMA-UP - October 2009 3 / 30
Isabel Silva Magalhães Integer-valued time series
Motivation
Discrete time non-negative integer-valued time series →counting series
Examples:
the daily number of seizures of epileptic patients
the yearly number of plants in a region
the daily number of guest nights in a hotel
the monthly incidence of a disease.
Usual linear time series models (ARMA processes) are not suitable.
Motivation PDMA-UP - October 2009 3 / 30
Isabel Silva Magalhães Integer-valued time series
Motivation
Discrete time non-negative integer-valued time series →counting series
Examples:
the daily number of seizures of epileptic patients
the yearly number of plants in a region
the daily number of guest nights in a hotel
the monthly incidence of a disease.
Usual linear time series models (ARMA processes) are not suitable.
Thinning operation

Multiplication counterpart on the integer-valued context.
Motivation PDMA-UP - October 2009 3 / 30
Isabel Silva Magalhães Integer-valued time series
Thinning operation
Binomial thinning operation [Steutel and Van Harn (1979)]
X : non-negative integer-valued random variable (r.v.), α ≥0
α ◦X =
X

j=1
Y
j
{Y
j
} ⊆N
0
(counting series): sequence of independent and identically distributed
(i.i.d.) r.v., independent of X, P(Y
j
= 1) = 1−P(Y
j
= 0) = α

α ◦X is the number of successes, with probability α, in X trials
Thinning operation PDMA-UP - October 2009 4 / 30
Isabel Silva Magalhães Integer-valued time series
Thinning operation
Binomial thinning operation [Steutel and Van Harn (1979)]
X : non-negative integer-valued random variable (r.v.), α ≥0
α ◦X =
X

j=1
Y
j
{Y
j
} ⊆N
0
(counting series): sequence of independent and identically distributed
(i.i.d.) r.v., independent of X, P(Y
j
= 1) = 1−P(Y
j
= 0) = α

α ◦X is the number of successes, with probability α, in X trials
Generalized thinning operation [Gauthier and Latour (1994); Silva and Oliveira (2004, 2005)]
α ∗X =
X

j=1
Y
j
{Y
j
}: sequence of i.i.d.r.v., independent of X, with some discrete distribution such that
E[Y
j
] = α, Var[Y
j
] = σ
2
, E[Y
j
3
] = γ, E[Y
j
4
] = κ
Thinning operation PDMA-UP - October 2009 4 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
INAR(1) processes [McKenzie (1985, 1988); Al-Osh and Alzaid (1987)]
X
t
= α ∗X
t−1
+e
t
, t = 1, . . . , N
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 5 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
INAR(1) processes [McKenzie (1985, 1988); Al-Osh and Alzaid (1987)]
X
t
= α ∗X
t−1
+e
t
, t = 1, . . . , N
0 < α ≤1
{e
t
} ⊆N
0
: sequence of i.i.d. discrete r.v. (arrival process)
E[e
t
] = µ
e
, Var[e
t
] = σ
e
2
, E[e
t
3
] = γ
e
, E[e
t
4
] = κ
e
counting series, {Y
j
}, are independent, and independent of {e
t
}, and such that
E[Y
j
] = α, Var[Y
j
] = σ
2
, E[Y
j
3
] = γ, E[Y
j
4
] = κ
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 5 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Poisson INAR(1) process with binomial thinning operation
X
t
= α ◦X
t−1
+e
t

{e
t
} Poisson distributed and {Y
j
} Bernoulli distributed
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 6 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Poisson INAR(1) process with binomial thinning operation
X
t
= α ◦X
t−1
+e
t

{e
t
} Poisson distributed and {Y
j
} Bernoulli distributed
α ◦X
t−1
: survivors of the elements of the process at time t −1, each with
probability of survival α
e
t
: elements which enter in the system in the interval ]t −1, t]
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 6 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Poisson INAR(1) process with binomial thinning operation
X
t
= α ◦X
t−1
+e
t

{e
t
} Poisson distributed and {Y
j
} Bernoulli distributed
α ◦X
t−1
: survivors of the elements of the process at time t −1, each with
probability of survival α
e
t
: elements which enter in the system in the interval ]t −1, t]
X
1
∼Po

λ
1−α

{e
t
} ∼Po(λ)

=⇒{X
t
} ∼Po

λ
1−α

INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 6 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Likelihood function of the Poisson INAR(1) process
p(X
t
|X
t−1
) : convolution of binomial distribution and Poisson distribution
p(X
t
|X
t−1
) = exp(−λ)
M
t

i=0
λ
(X
t
)−i
((X
t
) −i)!

X
t−1
i

α
i
(1−α)
(X
t−1
)−i
, M
t
= min{X
t−1
, X
t
}
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 7 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Likelihood function of the Poisson INAR(1) process
p(X
t
|X
t−1
) : convolution of binomial distribution and Poisson distribution
p(X
t
|X
t−1
) = exp(−λ)
M
t

i=0
λ
(X
t
)−i
((X
t
) −i)!

X
t−1
i

α
i
(1−α)
(X
t−1
)−i
, M
t
= min{X
t−1
, X
t
}
¸
¸
¸X ={X
0
, X
1
, . . . , X
N
}
L(X, α, λ) =
[λ/(1−α)]
X
0
X
0
!
exp

λ
1−α

N

t=1
p(X
t
|X
t−1
)
. .. .
L(X,α,λ|X
0
)
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 7 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Likelihood function of the Poisson INAR(1) process
p(X
t
|X
t−1
) : convolution of binomial distribution and Poisson distribution
p(X
t
|X
t−1
) = exp(−λ)
M
t

i=0
λ
(X
t
)−i
((X
t
) −i)!

X
t−1
i

α
i
(1−α)
(X
t−1
)−i
, M
t
= min{X
t−1
, X
t
}
¸
¸
¸X ={X
0
, X
1
, . . . , X
N
}
L(X, α, λ) =
[λ/(1−α)]
X
0
X
0
!
exp

λ
1−α

N

t=1
p(X
t
|X
t−1
)
. .. .
L(X,α,λ|X
0
)
Poisson distribution →mean = variance →problem in practical applications
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 7 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Likelihood function of the Poisson INAR(1) process
p(X
t
|X
t−1
) : convolution of binomial distribution and Poisson distribution
p(X
t
|X
t−1
) = exp(−λ)
M
t

i=0
λ
(X
t
)−i
((X
t
) −i)!

X
t−1
i

α
i
(1−α)
(X
t−1
)−i
, M
t
= min{X
t−1
, X
t
}
¸
¸
¸X ={X
0
, X
1
, . . . , X
N
}
L(X, α, λ) =
[λ/(1−α)]
X
0
X
0
!
exp

λ
1−α

N

t=1
p(X
t
|X
t−1
)
. .. .
L(X,α,λ|X
0
)
Poisson distribution →mean = variance →problem in practical applications
Overdispersion: variance > mean →binomial, negative binomial, geometric or
generalized Poisson
Underdispersion: variance < mean →generalized Poisson
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 7 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
INAR(p) processes [Du and Li (1991); Latour (1998)]
X
t
= α
1
∗X
t−1
+· · · +α
p
∗X
t−p
+e
t
, t = 1, . . . , N,
α
i
≥0, i = 1, . . . , p−1, and α
p
> 0, such that

p
i=1
α
i
< 1,
{e
t
} ⊆N
0
: sequence of i.i.d. discrete r.v. (arrival process)
E[e
t
] = µ
e
, Var[e
t
] = σ
e
2
, E[e
t
3
] = γ
e
, E[e
t
4
] = κ
e
,
all counting series, {Y
j,i
}, of the thinning operations
α
i
∗X
t−i
=

X
t−i
j=0
Y
j,i
, i = 1, . . . , p,
are mutually independent, and independent of {e
t
}, and such that
E[Y
j,i
] = α
i
, Var[Y
j,i
] = σ
i
2
, E[Y
j,i
3
] = γ
i
, E[Y
j,i
4
] = κ
i
.
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 8 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
INAR(p) processes [Du and Li (1991); Latour (1998)]
X
t
= α
1
∗X
t−1
+· · · +α
p
∗X
t−p
+e
t
, t = 1, . . . , N,
α
i
≥0, i = 1, . . . , p−1, and α
p
> 0, such that

p
i=1
α
i
< 1,
{e
t
} ⊆N
0
: sequence of i.i.d. discrete r.v. (arrival process)
E[e
t
] = µ
e
, Var[e
t
] = σ
e
2
, E[e
t
3
] = γ
e
, E[e
t
4
] = κ
e
,
all counting series, {Y
j,i
}, of the thinning operations
α
i
∗X
t−i
=

X
t−i
j=0
Y
j,i
, i = 1, . . . , p,
are mutually independent, and independent of {e
t
}, and such that
E[Y
j,i
] = α
i
, Var[Y
j,i
] = σ
i
2
, E[Y
j,i
3
] = γ
i
, E[Y
j,i
4
] = κ
i
.
INAR(p) has the same second-order structure as an AR(p) process
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 8 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Autocovariance function [Gauthier and Latour (1994)]

R(0) = V
p
+

p
i=1
α
i
R(i),
R(k) =

p
i=1
α
i
R(i −k), k ∈ Z\{0},
Spectral density function [Silva and Oliveira (2004, 2005)]
f (ω) =
1

V
p

1−

p
k=1
α
k
e
−iωk

2
, −π ≤ω ≤π,
One-step-ahead prediction error [Silva (2005)]
V
p
= σ
e
2

X

p
i=1
σ
i
2
.
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 9 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Autocovariance function [Gauthier and Latour (1994)]

R(0) = V
p
+

p
i=1
α
i
R(i),
R(k) =

p
i=1
α
i
R(i −k), k ∈ Z\{0},
Spectral density function [Silva and Oliveira (2004, 2005)]
f (ω) =
1

V
p

1−

p
k=1
α
k
e
−iωk

2
, −π ≤ω ≤π,
One-step-ahead prediction error [Silva (2005)]
V
p
= σ
e
2

X

p
i=1
σ
i
2
.
“One-sided” general linear representation [Silva (2005)]
X
t
=


u=0
γ
u
ε
t−u
, {ε
t
} white noise process
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 9 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Third-order characterization (in terms of moments)
[Silva and Oliveira (2004, 2005) and Silva (2005)]
µ
X
(0, 0) =

p
i=1

p
j=1

p
k=1
α
i
α
j
α
k
µ
X
(i −j, i −k) +3

p
i=1

p
j=1
α
j
σ
i
2
µ
X
(i −j)
+3µ
X

2
e

e
2
)

p
i=1
α
i
+3µ
e

p
i=1

p
j=1
α
i
α
j
µ
X
(i −j)
+3µ
X
µ
e

p
i=1
σ
i
2

X

p
i=1

i
−3α
i
σ
i
2
−α
3
i
) +γ
e
µ
X
(0, k) =

p
i=1
α
i
µ
X
(0, k −i) +µ
e
µ
X
(0), k > 0
µ
X
(k, k) =

p
i=1

p
j=1
α
i
α
j
µ
X
(k −i, k −j) +

p
i=1
σ
i
2
µ
X
(k −i) +2µ
e
µ
X
(k)
−µ
X

e
2
−σ
e
2
), k > 0
µ
X
(k, m) =

p
i=1
α
i
µ
X
(k, m−i) +µ
e
µ
X
(k), m > k > 0
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 10 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Third-order characterization (in terms of cumulants)
[Silva and Oliveira (2004, 2005) and Silva (2005)]
C
X
(0, 0) =

p
i=1

p
j=1

p
k=1
α
i
α
j
α
k
µ
X
(i −j, i −k) +3

p
i=1

p
j=1
α
j
σ
i
2
µ
X
(i −j) +γ
e
+3(µ
e
−µ
X
)

p
i=1

p
j=1
α
i
α
j
µ
X
(i −j) +3µ
X

e
−µ
X
)

p
i=1
σ
i
2
+2µ
3
X
−6µ
e
µ
X
2

p
i=1
α
i
−3µ
e

e
2

2
e
) +µ
X

p
i=1

i
−3α
i
σ
i
2
−α
3
i
)
C
X
(0, k) =

p
i=1
α
i
C
X
(0, k −i), k > 0
C
X
(k, k) =

p
i=1

p
j=1
α
i
α
j
C
X
(k −i, k −j) +

p
i=1
σ
i
2
C
X
(k −i), k > 0
C
X
(k, m) =

p
i=1
α
i
C
X
(k, m−i), m > k > 0
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 11 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Third-order characterization (in terms of cumulants)
[Silva and Oliveira (2004, 2005) and Silva (2005)]
C
X
(0, 0) =

p
i=1

p
j=1

p
k=1
α
i
α
j
α
k
µ
X
(i −j, i −k) +3

p
i=1

p
j=1
α
j
σ
i
2
µ
X
(i −j) +γ
e
+3(µ
e
−µ
X
)

p
i=1

p
j=1
α
i
α
j
µ
X
(i −j) +3µ
X

e
−µ
X
)

p
i=1
σ
i
2
+2µ
3
X
−6µ
e
µ
X
2

p
i=1
α
i
−3µ
e

e
2

2
e
) +µ
X

p
i=1

i
−3α
i
σ
i
2
−α
3
i
)
C
X
(0, k) =

p
i=1
α
i
C
X
(0, k −i), k > 0
C
X
(k, k) =

p
i=1

p
j=1
α
i
α
j
C
X
(k −i, k −j) +

p
i=1
σ
i
2
C
X
(k −i), k > 0
C
X
(k, m) =

p
i=1
α
i
C
X
(k, m−i), m > k > 0
INAR processes have a non-linear structure

1
st
and 2
nd
order moments and cumulants are not sufficient to describe dependence structure
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 11 / 30
Isabel Silva Magalhães Integer-valued time series
INteger-valued AutoRegressive (INAR) processes
Some extensions of INAR processes and relations with other models
Switching INAR(1) process [Franke and Seligmann (1993)]
Inclusion of explanatory variables [Brännäs (1995)]
Panel data [Brännäs (1994, 1995)]
INteger-valued Moving Average (INMA) model [Al-Osh and Alzaid (1988); Mckenzie (1988);
Brännäs and Hall (2001)]
INteger-valued AutoRegressive-Moving Average (INARMA) model [Mckenzie (1985, 1986);
Al-Osh and Alzaid (1991)]
Multivariate INAR(p) process [Franke and Subba Rao (1995); Latour (1997)]
INAR(p) of Alzaid and Al-Osh (1990) ∼ ARMA(p, p−1)
Poisson INAR(1) process is a M/M/∞ queueing system observed at regularly spaced interval of
times [Steutel et al. (1983); Mckenzie (1988)]
INAR(p) is a Multitype Branching processes with immigration, BGWI(p) [Dion et al. (1995)]
INteger-valued AutoRegressive (INAR) processes PDMA-UP - October 2009 12 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Time domain
Method of Moments

Second-order: Yule-Walker estimation (YW)

Third-order: Estimation using the Cumulant Third-Order Recursion equation
(TOR),
Least Squares (LS) estimation

Second-order: Conditional Least Squares (CLS)

Third-order: LS estimation based on high-order statistics (LS_HOS),
Frequency domain
Whittle estimation (WHT),
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 13 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Time domain
Method of Moments

Second-order: Yule-Walker estimation (YW)

Third-order: Estimation using the Cumulant Third-Order Recursion equation
(TOR),
Least Squares (LS) estimation

Second-order: Conditional Least Squares (CLS)

Third-order: LS estimation based on high-order statistics (LS_HOS),
Frequency domain
Whittle estimation (WHT),
YW, CLS, WHT, TOR, LS_HOS: do not assume the Poisson distribution for the
arrival process →more adaptive and flexible methods
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 13 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Theorem (Asymptotic distribution of the Yule-Walker estimators of an INAR(p) process [Silva and Silva (2006)])
Let {X
t
} be an INAR(p) process and
ˆ
ααα the Yule-Walker estimator of ααα [Al-Osh and Alzaid
(1987); Du and Li (1991)], that is
ˆ
R
p−1
ˆ
ααα = ˆ r
p

ˆ
R(0)
ˆ
R(1) · · ·
ˆ
R(p−1)
ˆ
R(1)
ˆ
R(0) · · ·
ˆ
R(p−2)
.
.
.
.
.
.
.
.
.
.
.
.
ˆ
R(p−1)
ˆ
R(p−2) · · ·
ˆ
R(0)
¸
¸
¸
¸
¸
¸
¸

ˆ α
1
ˆ α
2
.
.
.
ˆ α
p
¸
¸
¸
¸
¸
¸
¸
=

ˆ
R(1)
ˆ
R(2)
.
.
.
ˆ
R(p)
¸
¸
¸
¸
¸
¸
¸
.
Then
N
1/2
( ˆ α −α) is AN(0
p
, V
yw
),
where 0
n
is a vector of n zeros and V
yw
=D
T
ΣΣΣ
Rr
D, for ΣΣΣ
Rr
given by
ΣΣΣ
Rr
(i, j) = Cov(
ˆ
V
Rr
(i),
ˆ
V
Rr
(j)) and D
T
=−

R(1)I
p
· · · R(p)I
p

(R
p−1
−1
)
T

R
p−1
−1

I
p
2
0
p
2
×p

+

0
p×p
2
R
p−1
−1

, with I
n
the n×n identity matrix,
0
n×m
the n×m matrix of zeros and ⊗ the Kronecker.
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 14 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Theorem (Cumulant Third-Order Recursion (TOR) equation of INAR(p) processes [Silva (2005)])
Let {X
t
} be a stationary INAR(p) process. Then the third-order cumulants of X
t
can
be written in a single cumulant Third-Order Recursion (TOR) equation by
C
X
(−k, −m) −

p
i=1
α
i
C
X
(i −k, i −m) = δ(k)

p
i=1
σ
i
2
C
X
(i −m),
where 0 ≤k ≤m, m = 0, and δ(a) is the Kronecker delta function.
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 15 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Theorem (Cumulant Third-Order Recursion (TOR) equation of INAR(p) processes [Silva (2005)])
Let {X
t
} be a stationary INAR(p) process. Then the third-order cumulants of X
t
can
be written in a single cumulant Third-Order Recursion (TOR) equation by
C
X
(−k, −m) −

p
i=1
α
i
C
X
(i −k, i −m) = δ(k)

p
i=1
σ
i
2
C
X
(i −m),
where 0 ≤k ≤m, m = 0, and δ(a) is the Kronecker delta function.

¸
¸ C
X
(−k, −k) = C
X
(0, k)
C
3,X
ααα =

C
X
(0, 0) C
X
(1, 1) · · · C
X
(p−1, p−1)
C
X
(0, 1) C
X
(0, 0) · · · C
X
(p−2, p−2)
.
.
.
.
.
.
.
.
.
.
.
.
C
X
(0, p−1) C
X
(0, p−2) · · · C
X
(0, 0)
¸
¸
¸
¸
¸
¸
¸

α
1
α
2
.
.
.
α
p
¸
¸
¸
¸
¸
¸
¸
=

C
X
(0, 1)
C
X
(0, 2)
.
.
.
C
X
(0, p)
¸
¸
¸
¸
¸
¸
¸
=c
3,X
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 15 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Estimation using the Cumulant TOR equation
{X
1
, . . . , X
N=BM
} ={X
(1)
1
, . . . , X
(1)
M
, X
(2)
1
, . . . , X
(2)
M
, . . . , X
(B)
1
, . . . , X
(B)
M
},
ˆ
C
(i)
X
(k, k) =
1
M

M−k
j=1
(X
(i)
j
−X
(i)
)(X
(i)
j+k
−X
(i)
)
2
, k = 0, . . . , p−1,
ˆ
C
(i)
X
(0, k) =
1
M

M−k
j=1
(X
(i)
j
−X
(i)
)
2
(X
(i)
j+k
−X
(i)
), k = 1, . . . , p,
ˆ
C
X
(k, k) =
1
B

B
i=1
ˆ
C
(i)
X
(k, k), k = 0, . . . , p−1,
ˆ
C
X
(0, k) =
1
B

B
i=1
ˆ
C
(i)
X
(0, k), k = 1, . . . , p,
Solve
ˆ
C
3,X
ˆ
ααα = ˆ c
3,X
.
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 16 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Estimation using the Cumulant TOR equation
{X
1
, . . . , X
N=BM
} ={X
(1)
1
, . . . , X
(1)
M
, X
(2)
1
, . . . , X
(2)
M
, . . . , X
(B)
1
, . . . , X
(B)
M
},
ˆ
C
(i)
X
(k, k) =
1
M

M−k
j=1
(X
(i)
j
−X
(i)
)(X
(i)
j+k
−X
(i)
)
2
, k = 0, . . . , p−1,
ˆ
C
(i)
X
(0, k) =
1
M

M−k
j=1
(X
(i)
j
−X
(i)
)
2
(X
(i)
j+k
−X
(i)
), k = 1, . . . , p,
ˆ
C
X
(k, k) =
1
B

B
i=1
ˆ
C
(i)
X
(k, k), k = 0, . . . , p−1,
ˆ
C
X
(0, k) =
1
B

B
i=1
ˆ
C
(i)
X
(0, k), k = 1, . . . , p,
Solve
ˆ
C
3,X
ˆ
ααα = ˆ c
3,X
.
Asymptotic distribution: sixth-order moments and cumulants
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 16 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Theorem (Asymptotic distribution of the CLS estimators of an INAR(p) process [Latour (1998)])
Let {X
1
, . . . , X
N
} be observations of an INAR(p) process such that E[e
3
t
] < ∞ and
E[(Y
(k)
i
)
3
] < ∞, for k = 1, . . . , p and k ∈ N. Let θ = [
α
1
· · · α
p
µ
e
]
T
and let
ˆ
θ
denote the Conditional Least Squares estimator of θ, given by
Q
N
(
ˆ
θ) = min
θ
{Q
N
(θ)} = min
θ

N

t=p+1
(X
t
−α
1
X
t−1
−. . . −α
p
X
t−p
−µ
e
)
2
¸
.
Then

N(
ˆ
θ −θ) ∼N (0
p+1
, V
−1
WV
−1
),
where 0
p+1
is a (p+1) ×1 vector of zeros and the entries of V and W are defined by
[V]
i,j
=

µ
X
(i −j) i, j = 1, . . . , p,
µ
X
i = p+1 or j = p+1, i = j,
1 i = j = p+1,
[W]
i,j

e
2
[V]
i,j
+
p

k=1
σ
k
2
µ
X
(k −i, k −j).
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 17 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
LS estimation based on high-order statistics (HOS)
{x
1
, x
2
, . . . , x
n
} : realization of a non-negative integer-valued stationary stochastic
process with third-order moments µ(0, k), k > 0
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 18 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
LS estimation based on high-order statistics (HOS)
{x
1
, x
2
, . . . , x
n
} : realization of a non-negative integer-valued stationary stochastic
process with third-order moments µ(0, k), k > 0
Approximating model: INAR(p) with parameters α
1
, · · · , α
p
, µ
e
, σ
2
e
and
third-order moments µ
X
(0, k), k > 0, which can be represented in the following
matrix form:
µ
3,X
=M
3,X
α +µ
e
µ
X
(0)1
p

µ
X
(0, 1)
µ
X
(0, 2)
.
.
.
µ
X
(0, p)
¸
¸
¸
¸
¸
¸
¸
=

µ
X
(0, 0) µ
X
(1, 1) . . . µ
X
(p−1, p−1)
µ
X
(0, 1) µ
X
(0, 0) . . . µ
X
(p−2, p−2)
.
.
.
.
.
.
.
.
.
.
.
.
µ
X
(0, p−1) µ
X
(0, p−2) . . . µ
X
(0, 0)
¸
¸
¸
¸
¸
¸
¸

α
1
α
2
.
.
.
α
p
¸
¸
¸
¸
¸
¸
¸

e
µ
X
(0)

1
1
.
.
.
1
¸
¸
¸
¸
¸
¸
¸
µ
X
(0) =
p

i=1
α
i
µ
X
(i) +µ
e
µ
X
+V
p
, with V
p
= σ
e
2

X
p

i=1
σ
i
2
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 18 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Defining H= [M
3,X
µ
X
(0)1
p
] and θ = [
α
1
· · · α
p
µ
e
]
T

µ
3,X
=Hθ
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 19 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Defining H= [M
3,X
µ
X
(0)1
p
] and θ = [
α
1
· · · α
p
µ
e
]
T

µ
3,X
=Hθ

θ may be estimated by least squares, ie, minimizing the squared error between µ
3,X
and the third-order moments of the data:
µ
3
= [
µ(0, 1) · · · µ(0, p)
]
T
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 19 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Defining H= [M
3,X
µ
X
(0)1
p
] and θ = [
α
1
· · · α
p
µ
e
]
T

µ
3,X
=Hθ

θ may be estimated by least squares, ie, minimizing the squared error between µ
3,X
and the third-order moments of the data:
µ
3
= [
µ(0, 1) · · · µ(0, p)
]
T
Least Squares estimator of θ using HOS (LS_HOS)
ˆ
θ = min
θ
{L

(θ)} = min
θ
{(µ
3
−Hθ)
T

3
−Hθ)}
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 19 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Defining H= [M
3,X
µ
X
(0)1
p
] and θ = [
α
1
· · · α
p
µ
e
]
T

µ
3,X
=Hθ

θ may be estimated by least squares, ie, minimizing the squared error between µ
3,X
and the third-order moments of the data:
µ
3
= [
µ(0, 1) · · · µ(0, p)
]
T
Least Squares estimator of θ using HOS (LS_HOS)
ˆ
θ = min
θ
{L

(θ)} = min
θ
{(µ
3
−Hθ)
T

3
−Hθ)}
In practice:
ˆ
θ = min
θ
{
ˆ
L

(θ)} = min
θ
{( ˆ µ
3

ˆ
Hθ)
T
( ˆ µ
3

ˆ
Hθ)}
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 19 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Spectral density function easy to obtain
{X
t
} is an INAR process
[Silva (2005)]
−−−−−−−→{X
t
} is a Non-Gaussian Mixing process:

{X
t
} is strictly stationary,

E[|X
t
|
k
] < ∞, t ∈ Z, k ∈ N,



s
1
=−∞
. . .


s
k−1
=−∞
|C
X
(s
1
, . . . , s
k−1
)| < ∞, k ≥2, (mixing condition)
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 20 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Spectral density function easy to obtain
{X
t
} is an INAR process
[Silva (2005)]
−−−−−−−→{X
t
} is a Non-Gaussian Mixing process:

{X
t
} is strictly stationary,

E[|X
t
|
k
] < ∞, t ∈ Z, k ∈ N,



s
1
=−∞
. . .


s
k−1
=−∞
|C
X
(s
1
, . . . , s
k−1
)| < ∞, k ≥2, (mixing condition)
I
N

j
) =
1
2πN

N

t=1
X
t
e
−iω
j
t

2

f (ω
j
)
2
χ
2
2
,
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 20 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Spectral density function easy to obtain
{X
t
} is an INAR process
[Silva (2005)]
−−−−−−−→{X
t
} is a Non-Gaussian Mixing process:

{X
t
} is strictly stationary,

E[|X
t
|
k
] < ∞, t ∈ Z, k ∈ N,



s
1
=−∞
. . .


s
k−1
=−∞
|C
X
(s
1
, . . . , s
k−1
)| < ∞, k ≥2, (mixing condition)
I
N

j
) =
1
2πN

N

t=1
X
t
e
−iω
j
t

2

f (ω
j
)
2
χ
2
2
,
Whittle estimator [Silva and Oliveira (2004, 2005)]
˜
θθθ = min
θθθ
{
¯
L(X)} = min
θθθ


[N/2]
j=1

log(f (ω
j
)) +
I
N

j
)
f (ω
j
)

Parameter estimation for INAR(p) processes PDMA-UP - October 2009 20 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
Spectral density function easy to obtain
{X
t
} is an INAR process
[Silva (2005)]
−−−−−−−→{X
t
} is a Non-Gaussian Mixing process:

{X
t
} is strictly stationary,

E[|X
t
|
k
] < ∞, t ∈ Z, k ∈ N,



s
1
=−∞
. . .


s
k−1
=−∞
|C
X
(s
1
, . . . , s
k−1
)| < ∞, k ≥2, (mixing condition)
I
N

j
) =
1
2πN

N

t=1
X
t
e
−iω
j
t

2

f (ω
j
)
2
χ
2
2
,
Whittle estimator [Silva and Oliveira (2004, 2005)]
˜
θθθ = min
θθθ
{
¯
L(X)} = min
θθθ


[N/2]
j=1

log(f (ω
j
)) +
I
N

j
)
f (ω
j
)

Asymptotic variance: Fourth-order cumulant spectral density function
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 20 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
ˆ µ
e
= X

1−

p
i=1
ˆ α
i

, ˆ σ
2
e
=
ˆ
V
p
−X

p
i=1
ˆ σ
2
i
,
where
ˆ
V
p
=
ˆ
R(0) −

p
i=1
ˆ α
i
ˆ
R(i) and ˆ σ
2
i
is an estimator of Var[Y
j,i
], i = 1, . . . , p. For
instance, ˆ σ
2
i
= ˆ α
i
(1− ˆ α
i
), for the binomial thinning operation.
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 21 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
ˆ µ
e
= X

1−

p
i=1
ˆ α
i

, ˆ σ
2
e
=
ˆ
V
p
−X

p
i=1
ˆ σ
2
i
,
where
ˆ
V
p
=
ˆ
R(0) −

p
i=1
ˆ α
i
ˆ
R(i) and ˆ σ
2
i
is an estimator of Var[Y
j,i
], i = 1, . . . , p. For
instance, ˆ σ
2
i
= ˆ α
i
(1− ˆ α
i
), for the binomial thinning operation.
Simulation results
Non-admissible estimates →constrained estimation (CLS, WHT, LS_HOS)
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 21 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
ˆ µ
e
= X

1−

p
i=1
ˆ α
i

, ˆ σ
2
e
=
ˆ
V
p
−X

p
i=1
ˆ σ
2
i
,
where
ˆ
V
p
=
ˆ
R(0) −

p
i=1
ˆ α
i
ˆ
R(i) and ˆ σ
2
i
is an estimator of Var[Y
j,i
], i = 1, . . . , p. For
instance, ˆ σ
2
i
= ˆ α
i
(1− ˆ α
i
), for the binomial thinning operation.
Simulation results
Non-admissible estimates →constrained estimation (CLS, WHT, LS_HOS)
Sample bias, variance, mean square error and univariate skewness decrease as
the sample size increases ⇒consistency and symmetry
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 21 / 30
Isabel Silva Magalhães Integer-valued time series
Parameter estimation for INAR(p) processes
ˆ µ
e
= X

1−

p
i=1
ˆ α
i

, ˆ σ
2
e
=
ˆ
V
p
−X

p
i=1
ˆ σ
2
i
,
where
ˆ
V
p
=
ˆ
R(0) −

p
i=1
ˆ α
i
ˆ
R(i) and ˆ σ
2
i
is an estimator of Var[Y
j,i
], i = 1, . . . , p. For
instance, ˆ σ
2
i
= ˆ α
i
(1− ˆ α
i
), for the binomial thinning operation.
Simulation results
Non-admissible estimates →constrained estimation (CLS, WHT, LS_HOS)
Sample bias, variance, mean square error and univariate skewness decrease as
the sample size increases ⇒consistency and symmetry
LS_HOS, WHT and CLS provides good results

in terms of smaller sample bias, variance and mean square error
Parameter estimation for INAR(p) processes PDMA-UP - October 2009 21 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Poliomyelitis incidence in the United States
Monthly number of U.S. cases of
poliomyelitis, from 1970 to 1983
[Zeger (1988): Parameter-driven
model], and sample
autocorrelation and partial
autocorrelation functions
1970 1972 1974 1976 1978 1980 1982 1984
0
2
4
6
8
10
12
14
year
m
o
n
t
h
l
y

c
o
u
n
t
s
0 5 10 15 20 25 30
−0.2
0
0.2
0.4
0.6
0.8
1
1.2
k
ρ
(
k
)
0 5 10 15 20 25 30
−0.2
−0.1
0
0.1
0.2
0.3
k
φ
(
k
)
Application to real data PDMA-UP - October 2009 22 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Poliomyelitis incidence in the United States
X = 1.33 and S
2
= 3.48

INAR(1) with binomial thinning operation and discrete arrival process
X
t
= α ◦X
t−1
+e
t
, t = 2, . . . , 168, E[e
t
] = µ
e
, Var[e
t
] = σ
e
2
,
Application to real data PDMA-UP - October 2009 23 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Poliomyelitis incidence in the United States
X = 1.33 and S
2
= 3.48

INAR(1) with binomial thinning operation and discrete arrival process
X
t
= α ◦X
t−1
+e
t
, t = 2, . . . , 168, E[e
t
] = µ
e
, Var[e
t
] = σ
e
2
,
Method ˆ α ˆ µ
e
ˆ σ
2
e
YW 0.2948 0.9403 2.9041
CLS 0.3063 0.9414 2.8862
WHT 0.2799 0.9601 2.9279
LS_HOS 0.2083 0.9277 3.0504
LS_HOS_C 0.2344 0.7477 3.0040
TOR_1B 0.1475 1.1367 3.1650
TOR_2B 0.1431 1.1425 3.1737
Table: Parameter estimates of the INAR(1) model fitted to the polio data.
Application to real data PDMA-UP - October 2009 23 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Number of plants within the industrial sector
The number of Swedish
mechanical paper and
pulp mills, from 1921 to
1981 [Brännäs (1995)
and Brännäs and
Hellström (2001):
Explanatory variables]
1920 1930 1940 1950 1960 1970 1981
5
10
15
20
25
30
35
40
45
50
N
u
m
b
e
r

o
f

p
l
a
n
t
s
Application to real data PDMA-UP - October 2009 24 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Simple INAR(1)
It is not assumed the Poisson distribution for the arrival process:
X = 20.40 and S
2
= 155.16
Application to real data PDMA-UP - October 2009 25 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Simple INAR(1)
It is not assumed the Poisson distribution for the arrival process:
X = 20.40 and S
2
= 155.16
Method ˆ α ˆ µ
e
ˆ σ
2
e
ˆ µ
x
ˆ σ
2
x
MSE
CLS 0.9591 0.2017 15.2268 4.9279 192.2764 9.3254
LS_HOS 0.9269 1.3635 19.2253 18.6516 145.4513 9.2997
TOR_1B 0.9631 0.7518 14.7219 20.374 213.5073 8.9224
Application to real data PDMA-UP - October 2009 25 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Simple INAR(1)
It is not assumed the Poisson distribution for the arrival process:
X = 20.40 and S
2
= 155.16
Method ˆ α ˆ µ
e
ˆ σ
2
e
ˆ µ
x
ˆ σ
2
x
MSE
CLS 0.9591 0.2017 15.2268 4.9279 192.2764 9.3254
LS_HOS 0.9269 1.3635 19.2253 18.6516 145.4513 9.2997
TOR_1B 0.9631 0.7518 14.7219 20.374 213.5073 8.9224
Mean and variance of the estimated models: ˆ µ
x
=
ˆ µ
e
1− ˆ α
and ˆ σ
2
x
=
(1− ˆ α)( ˆ µ
e
ˆ α + ˆ σ
2
e
)
(1− ˆ α)
2
(1+ ˆ α)
Application to real data PDMA-UP - October 2009 25 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
Simple INAR(1)
It is not assumed the Poisson distribution for the arrival process:
X = 20.40 and S
2
= 155.16
Method ˆ α ˆ µ
e
ˆ σ
2
e
ˆ µ
x
ˆ σ
2
x
MSE
CLS 0.9591 0.2017 15.2268 4.9279 192.2764 9.3254
LS_HOS 0.9269 1.3635 19.2253 18.6516 145.4513 9.2997
TOR_1B 0.9631 0.7518 14.7219 20.374 213.5073 8.9224
Mean and variance of the estimated models: ˆ µ
x
=
ˆ µ
e
1− ˆ α
and ˆ σ
2
x
=
(1− ˆ α)( ˆ µ
e
ˆ α + ˆ σ
2
e
)
(1− ˆ α)
2
(1+ ˆ α)
MSE between the observations and the fitted models based on TOR_1B, LS_HOS and
CLS estimates
Application to real data PDMA-UP - October 2009 25 / 30
Isabel Silva Magalhães Integer-valued time series
Application to real data
The number of plants and
the fitted values
considering the LS_HOS
and CLS estimates
1920 1930 1940 1950 1960 1970 1981
5
10
15
20
25
30
35
40
45
50
N
u
m
b
e
r

o
f

p
l
a
n
t
s
Real data
CLS
LS_HOS
Application to real data PDMA-UP - October 2009 26 / 30
Isabel Silva Magalhães Integer-valued time series
Recent developments
Overdispersion →new thinning operations and/or different distributions for the
arrival processes
Extreme value theory
INAR with periodic structure
Outliers
Forecasting
Heteroskedasticity
Random-coefficient INAR
Recent developments PDMA-UP - October 2009 27 / 30
Isabel Silva Magalhães Integer-valued time series
Theme proposal
Random-coefficient integer-valued autoregressive processes
Theme proposal PDMA-UP - October 2009 28 / 30
Isabel Silva Magalhães Integer-valued time series
Theme proposal
Random-coefficient integer-valued autoregressive processes
Describe the first-order random-coefficient integer-valued autoregressive,
RCINAR(1), process proposed by Gomes and Canto e Castro (2009) and Zheng et al.
(2007) and explain the principal differences/similarities between these two processes.
Gomes, D., Canto e Castro, L., 2009. Generalized integer-valued random coefficient for a first order
structure autoregressive (RCINAR) process. Journal of Statistical Planning and Inference, vol. 139
(12), pp. 4088–4097.
Zheng, H., Basawa, I. V., Datta, S., 2007. First-order random coefficient integer-valued
autoregressive processes. Journal of Statistical Planning and Inference, vol. 137 (1), pp. 212–229.
Theme proposal PDMA-UP - October 2009 28 / 30
Isabel Silva Magalhães Integer-valued time series
References I
Al-Osh, M.A. and Alzaid, A.A., 1987.
First-order integer-valued autoregressive (INAR(1))
process.
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Al-Osh, M.A. and Alzaid, A.A., 1988.
Integer-valued moving average (INMA) process.
Statistical Papers, vol. 29, pp. 281–300.
Al-Osh, M.A. and Alzaid, A.A., 1991.
Binomial autoregressive moving average models.
Communications in Statistics: Stochastic Models, vol. 7,
pp. 261–282.
Alzaid, A.A. and Al-Osh, M.A., 1990.
An integer-valued pth-order autoregressive structure
(INAR(p)) process.
Journal of Applied Probability, vol. 27, pp. 314–324.
Brännäs, K., 1994.
Estimation and testing in integer-valued AR(1) models.
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Brännäs, K., 1995.
Explanatory variables in the AR(1) count data model.
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Brännäs, K. and Hall, A., 2001.
Estimation in integer-valued moving average models.
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17, pp. 277–291.
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Franke, J. and Seligmann, T., 1993.
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References PDMA-UP - October 2009 29 / 30
Isabel Silva Magalhães Integer-valued time series
References II
Gauthier, G. and Latour, A., 1994.
Convergence forte des estimateurs des paramètres dt’un
processus GENAR(p).
Annales des Sciences Mathématiques du Québec, vol. 18,
pp. 49–71
Latour, A., 1997.
The multivariate GINAR(p) process.
Advances in Applied Probability, vol. 29, pp. 228–248.
Latour, A., 1998.
Existence and stochastic structure of a non-negative
integer-valued autoregressive process.
Journal of Time Series Analysis, vol. 19, pp. 439–455.
McKenzie, E., 1985.
Some simple models for discrete variate time series.
Water Resources Bulletin, vol. 21, pp. 645–650.
McKenzie, E., 1986.
Autoregressive moving-average processes with
negative-binomial and geometric marginal distributions.
Advances in Applied Probability, vol. 18, pp. 679–705.
McKenzie, E., 1988.
Some ARMA models for dependent sequences of Poisson
counts.
Advances in Applied Probability, vol. 20, pp. 822–835.
Silva, M.E. and Oliveira, V.L., 2004.
Difference equations for the higher-order moments and
cumulants of the INAR(1) model.
Journal of Time Series Analysis, vol. 25, pp. 317–333.
Silva, M.E. and Oliveira, V.L., 2005.
Difference equations for the higher-order moments and
cumulants of the INAR(p) model.
Journal of Time Series Analysis, vol. 26, pp. 17–36.
Silva, I. e Silva, M.E., 2006.
Asymptotic distribution of the Yule-Walker estimator for
INAR(p) processes.
Statistics & Probability Letters, vol. 76, pp. 1655-1663.
Steutel, F.W. and Van Harn, K., 1979.
Discrete analogues of self-decomposability and stability.
The Annals of Probability, vol. 7, pp. 893–899.
Steutel, F.W. and Vervaat, W. and Wolfe, S.J., 1983.
Integer valued branching processes with immigration.
Advances in Applied Probability, vol. 15, pp. 713–725.
Zeger, S.L., 1988.
A regression model for time series of counts.
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References PDMA-UP - October 2009 30 / 30