Geodesic
Identifying latent components of the TINAR(1) model
Filomat, Tome 35 (2021) no. 13, p. 4469

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DOI

In this paper we give a solution for the problem of identifying and predicting latent components of the integer-valued time series with skewed Skellam marginal distribution. At the beginning, expressions for latent components identification and prediction are derived. These expressions give us a possibility of revealing the values of two hidden, immeasurable components which affect the integer-valued time series with skewed Skellam marginals. Yule-Walker estimators of the unknown parameters are obtained. Also, quality of identification and lag-one prediction is tested on simulated data. At the very end, the model validation is performed in application on the real-life data
DOI : 10.2298/FIL2113469D
Classification : 62M10
Keywords: latent components, STINAR, Poisson marginals, Skellam marginals, thinning operator 
Miodrag S Djordjević; Miroslav M Ristić; Bogdan Pirković. Identifying latent components of the TINAR(1) model. Filomat, Tome 35 (2021) no. 13, p. 4469 . doi: 10.2298/FIL2113469D
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     title = {Identifying latent components of the {TINAR(1)} model},
     journal = {Filomat},
     pages = {4469 },
     year = {2021},
     volume = {35},
     number = {13},
     doi = {10.2298/FIL2113469D},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.2298/FIL2113469D/}
}
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