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Bamdadi, Rana; Mohammadpour, Mehrnaz; Ramezani, Sakineh

A bilinear modeling in counts time series with applications. (English) Zbl 07912569

Commun. Nonlinear Sci. Numer. Simul. 139, Article ID 108282, 17 p. (2024).
Summary: This paper introduces a modified bilinear model for integer-valued time series in which thinning operators are applied in bilinear terms involving the product of the input and state process separately. The proposed model is able to consider overdispersion. Furthermore, it connects a feature of the integer-valued autoregressive conditional heteroskedasticity and integer-valued autoregressive processes. Important properties of the proposed model as well as the sufficient condition for stationarity are derived. After considering some estimation methods based on time domain and frequency domain approaches, simulation studies are conducted to check the performance of the estimates. The analysis of practical cases in social science is accomplished to highlight the usefulness of the proposed model in applications, and the model’s adequacy is provided. Further, the suggested model discusses the problem of data forecasting.

MSC:

62Mxx Inference from stochastic processes
62Fxx Parametric inference
62Gxx Nonparametric inference

Keywords:

forecasting; INBL models; saddlepoint approximation; sieve bootstrap; thinning operator; Whittle method
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References:

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