×
Al-Nachawati, H.; Alwasel, I.; Alzaid, A. A.

Estimating the parameters of the generalized Poisson AR(1) process. (English) Zbl 0872.62083

J. Stat. Comput. Simulation 56, No. 4, 337-352 (1997).
Summary: The main objective of this paper is to compare two methods of estimating the parameters of the generalized Poisson autoregressive process of order one. The small sample performance of the methods of Yule-Walker and Gaussian estimation is studied. A simulation study is presented to compare the two methods. An application of the model to data representing the numbers of failures of a computer system is given.

Cited in 3 Documents

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M05 Markov processes: estimation; hidden Markov models

Keywords:

Yule-Walker estimation; quasi-binomial distribution; generalized Poisson autoregressive process of order one; small sample performance; Gaussian estimation; simulation study; numbers of failures; computer system
Cite Review PDF
Full Text: DOI

References:

[1] Al-Oash M., Journal of Time Series Analysis 8 pp 261– (1987) · Zbl 0617.62096 · doi:10.1111/j.1467-9892.1987.tb00438.x
[2] Alzaid A.A., Statistica Neerlandica 42 pp 53– (1988) · Zbl 0647.62086 · doi:10.1111/j.1467-9574.1988.tb01521.x
[3] Alzaid A.A., Annals of the institute of mathematical Statistics 45 pp 223– (1993) · Zbl 0777.62085 · doi:10.1007/BF00775809
[4] Consul P.C., Generalized Poisson Distribution: Properties and Applications (1989) · Zbl 0691.62015
[5] Crowder M., J. R. Stastist Soc, B 47 pp 229– (1985)
[6] Franke J., Developments in Time Series Analysis pp 310– (1993) · doi:10.1007/978-1-4899-4515-0_22
[7] Hand, D.J., Daly, F., Lunn, A.D. and McConway, K.J. 1994. ”A Handbook of Small Data Sets”. Edited by: Ostrowski, E. London: Chapman and Hall. · Zbl 0949.62500
[8] McKenzie E., Water Resources Bulletin 21 pp 645– (1985) · doi:10.1111/j.1752-1688.1985.tb05379.x
[9] McKenzie E., Probab 20 pp 822– (1988)
[10] Whittle P., Bull. Int. Statist Inst 39 pp 1– (1961)
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.