Integer-valued bilinear time series model with signed generalized power series thinning operator

ABSTRACT

We propose an integer-valued bilinear model with signed generalized power series thinning operator which provides more flexibility in modelling negative integer-valued time series together with negative correlation. Strict stationarity and some properties of the process are determined, unknown parameters are estimated by several methods and the behaviour of the estimators is described through the numerical results. Finally, the analysis of three real data sets has been presented for illustrative purposes.

Keywords:

• Conditional least square method
• integer-valued bilinear process
• signed thinning operator

Disclosure statement

No potential conflict of interest was reported by the authors.