dc.contributor.author Guerrero, Matheus B. dc.contributor.author Barreto-Souza, Wagner dc.contributor.author Ombao, Hernando dc.date.accessioned 2020-12-01T10:52:22Z dc.date.available 2020-12-01T10:52:22Z dc.date.issued 2020-04-18 dc.identifier.uri http://hdl.handle.net/10754/666185 dc.description.abstract INteger Auto-Regressive (INAR) processes are usually defined by specifying the innovations and the operator, which often leads to difficulties in deriving marginal properties of the process. In many practical situations, a major modeling limitation is that it is difficult to justify the choice of the operator. To overcome these drawbacks, we propose a new flexible approach to build an INAR model: we pre-specify the marginal and innovation distributions. Hence, the operator is a consequence of specifying the desired marginal and innovation distributions. Our new INAR model has both marginal and innovations geometric distributed, being a direct alternative to the classical Poisson INAR model. Our proposed process has interesting stochastic properties such as an MA($\infty$) representation, time-reversibility, and closed-forms for the transition probabilities $h$-steps ahead, allowing for coherent forecasting. We analyze time-series counts of skin lesions using our proposed approach, comparing it with existing INAR and INGARCH models. Our model gives more adherence to the data and better forecasting performance. dc.publisher arXiv dc.relation.url https://arxiv.org/pdf/2004.08667 dc.rights Archived with thanks to arXiv dc.title Integer-valued autoregressive process with flexible marginal and innovation distributions dc.type Preprint dc.contributor.department King Abdullah University of Science and Technology, Thuwal, Saudi Arabia. dc.contributor.department Statistics Program dc.contributor.department Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division dc.eprint.version Pre-print dc.contributor.institution Universidade Federal de Minas Gerais, Belo Horizonte, Brazil. dc.identifier.arxivid 2004.08667 kaust.person Guerrero, Matheus B. kaust.person Barreto-Souza, Wagner kaust.person Ombao, Hernando refterms.dateFOA 2020-12-01T10:52:54Z
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