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Coherent Forecasting in Binomial AR(p) Model
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 Title & Authors
Coherent Forecasting in Binomial AR(p) Model
Kim, Hee-Young; Park, You-Sung;
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This article concerns the forecasting in binomial AR(p) models which is proposed by Wei (2009b) for time series of binomial counts. Our method extends to binomial AR(p) models a recent result by Jung and Tremayne (2006) for integer-valued autoregressive model of second order, INAR(2), with simple Poisson innovations. Forecasts are produced by conditional median which gives 'coherent' forecasts, and we estimate the forecast distributions of future values of binomial AR(p) models by means of a Monte Carlo method allowing for parameter uncertainty. Model parameters are estimated by the method of moments and estimated standard errors are calculated by means of block of block bootstrap. The method is fitted to log data set used in Wei (2009b).
Binomial thinning;binomial AR(p) model;block-of-blocks bootstrap;
 Cited by
Markov Chain Approach to Forecast in the Binomial Autoregressive Models,Kim, Hee-Young;Park, You-Sung;

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