Poisson-Lindley minification INAR process with application to financial data DOI Creative Commons
Vladica Stojanović, Hassan S. Bakouch,

Radica Bojičić

et al.

AIMS Mathematics, Journal Year: 2024, Volume and Issue: 9(8), P. 22627 - 22654

Published: Jan. 1, 2024

<p>This paper introduces the Poisson-Lindley minification integer-valued autoregressive (PL-MINAR) process, a novel statistical model for analyzing count time series data. The modified negative binomial thinning and (PL) marginal distribution served as foundation model. proposed was examined in terms of its basic stochastic properties, especially related to conditional measures (e.g., transition probabilities, mean variance, autocorrelation function). Through comprehensive simulations, effectiveness various parameter estimation techniques validated. PL-MINAR model's practical utility demonstrated number Bitcoin transactions stock trades, showing superior or comparable performance established INAR By offering robust tool financial analysis, this research holds potential significant improvements forecasting understanding market dynamics.</p>

Language: Английский

Poisson-Lindley minification INAR process with application to financial data DOI Creative Commons
Vladica Stojanović, Hassan S. Bakouch,

Radica Bojičić

et al.

AIMS Mathematics, Journal Year: 2024, Volume and Issue: 9(8), P. 22627 - 22654

Published: Jan. 1, 2024

<p>This paper introduces the Poisson-Lindley minification integer-valued autoregressive (PL-MINAR) process, a novel statistical model for analyzing count time series data. The modified negative binomial thinning and (PL) marginal distribution served as foundation model. proposed was examined in terms of its basic stochastic properties, especially related to conditional measures (e.g., transition probabilities, mean variance, autocorrelation function). Through comprehensive simulations, effectiveness various parameter estimation techniques validated. PL-MINAR model's practical utility demonstrated number Bitcoin transactions stock trades, showing superior or comparable performance established INAR By offering robust tool financial analysis, this research holds potential significant improvements forecasting understanding market dynamics.</p>

Language: Английский

Citations

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