Title: Models of integer-valued time series with random coefficients Author: Petra Burdejová Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Zuzana Prášková, CSc. Abstract: In the presented thesis, a generalized integer-valued autoregres- sive process of the order p (GINAR(p)) is considered first. The main aim is taken to introduction of random coefficient integer-valued autoregressive process (RCINAR(p)). We use a thinning operator in order to define the processes. The main characteristics of GINAR(p) and RCINAR(p) are obtained. Condi- tions for stationarity and ergodicity are stated. Three methods of estimation (Yule-Walker, Conditional least squares, Generalized method of moments) are given and compared in simulation with respect to the mean squared error (MSE). At the end, RCINAR(3) model is applied to a real dataset representing a number of earthquakes per year. Keywords: thinning operator, random coefficients, integer-valued time se- ries, GINAR, RCINAR
| Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:324614 |
| Date | January 2013 |
| Creators | Burdejová, Petra |
| Contributors | Prášková, Zuzana, Cipra, Tomáš |
| Source Sets | Czech ETDs |
| Language | English |
| Detected Language | English |
| Type | info:eu-repo/semantics/masterThesis |
| Rights | info:eu-repo/semantics/restrictedAccess |
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