Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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On the Autocovariance Function of INAR(1) Process with a Negative Binomial or a Poisson marginal

  • Park, You-Sung (5-1 Anam-Dong, Sungbuk-gu, KOREA, Korea University) ;
  • Kim, Heeyoung (5-1 Anam-Dong, Sungbuk-gu, KOREA, Korea University)
  • Published : 2000.09.01
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Abstract

We show asymptotic normality of the sample mean and sample autocovariances function generated from first-order integer valued autoregressive process(INAR(1)) with a negative binomial or a Poisson marginal. It is shown that a Poisson INAR(1) process is a special case of a negative binomial INAR(1) process.

Keywords

References

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  3. Advances in Applied Probability v.18 Autoregressive moving-average proscessses with negative binomial and geometric marginal distributions Mckenzie, E.
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  6. Probability in the Envineering and Infomational Sciences v.11 An Analysis of Poisson Moving-Average Processes McCormick, W.P.;Park, Y.S.