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Master's Dissertation
DOI
https://doi.org/10.11606/D.45.2013.tde-10062013-230800
Document
Author
Full name
Tiago de Almeida Cerqueira Lima
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2013
Supervisor
Committee
Toloi, Clelia Maria de Castro (President)
Chiann, Chang
Lopes, Silvia Regina Costa
Title in Portuguese
Modelos INAR e RCINAR, estimação e aplicação
Keywords in Portuguese
métodos de estimação
Modelo INAR
Modelo RCINAR
Séries temporais inteiras
Abstract in Portuguese
Neste trabalho primeiramente apresentamos um modelo para uma sequência estacionária de valores inteiros (processo de contagem) autoregressivo de ordem p (INAR(p)). Depois disso, mos- traremos uma extensão desse processo, chamado modelo autoregressivo inteiro com coeficientes aleatórios (RCINAR(p)) . Para ambos os modelos, apresentamos suas propriedades assim como diferentes métodos de estimação de seus parâmetros. Os resultados da simulação e comparação dos estimadores são mostrados. Finalmente os modelos são aplicados em dois conjuntos de dados reais: Número mensal de empresas em falência; Número mensal de consultas no bureau de crédito.
Title in English
INAR and RCINAR models, estimation and application
Keywords in English
estimation methods
INAR model
Integer time series
RCINAR model
Abstract in English
At this work we first present a model for stationary sequence of integer-valued random variables (counting process) referred to as the integer-valued autoregressive of order p (INAR(p)) process. Af- ter this we show an extension of this process, called random coefficient integer-valued autoregressive process (RCINAR(p)). For both models we present its properties as well as different methods of estimation of its parameters. Simulation results and the comparison of the estimators are reported. Finally the models are applied to two real data sets: monthly number of companies with bankruptcy; monthly number of enquiries in credit bureau.
 
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Dissertacao.pdf (3.84 Mbytes)
Publishing Date
2013-06-13
 
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