Prediction Limits for Poisson INAR(1) Process
We discuss the problem of deriving an estimative prediction limit as well as a simulation-based improved prediction limit for a future realization from the stationary, first-order Poisson INAR(1) process. An assessment of these limits was carried out by calculating their coverage probability, condit...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
ITB Journal Publisher
2015-06-01
|
| Series: | Journal of Mathematical and Fundamental Sciences |
| Subjects: | |
| Online Access: | http://journals.itb.ac.id/index.php/jmfs/article/view/474 |
| _version_ | 1819017711780364288 |
|---|---|
| author | Khreshna Syuhada Abdulhamid Alzaid Salah Djemili |
| author_facet | Khreshna Syuhada Abdulhamid Alzaid Salah Djemili |
| author_sort | Khreshna Syuhada |
| collection | DOAJ |
| description | We discuss the problem of deriving an estimative prediction limit as well as a simulation-based improved prediction limit for a future realization from the stationary, first-order Poisson INAR(1) process. An assessment of these limits was carried out by calculating their coverage probability, conditional on the last observation. It was found that while an estimative prediction limit may always be calculated, an improved prediction limit may not be obtained due to its discreteness and expectation to obtain a coherent prediction. |
| first_indexed | 2024-12-21T03:07:52Z |
| format | Article |
| id | doaj.art-4e82460b21c243039dbdc7e9d7008ebf |
| institution | Directory Open Access Journal |
| issn | 2337-5760 2338-5510 |
| language | English |
| last_indexed | 2024-12-21T03:07:52Z |
| publishDate | 2015-06-01 |
| publisher | ITB Journal Publisher |
| record_format | Article |
| series | Journal of Mathematical and Fundamental Sciences |
| spelling | doaj.art-4e82460b21c243039dbdc7e9d7008ebf2022-12-21T19:18:03ZengITB Journal PublisherJournal of Mathematical and Fundamental Sciences2337-57602338-55102015-06-0147211712510.5614/j.math.fund.sci.2015.47.2.1Prediction Limits for Poisson INAR(1) ProcessKhreshna Syuhada0Abdulhamid Alzaid1Salah Djemili2Statistics Research Division, Department of Mathematics Institut Teknologi Bandung, Jalan Ganesa 10 Bandung 40132, IndonesiaDepartment of Statistics and OR, King Saud University Riyadh 11362, Saudi ArabiaDepartment of Statistics and OR, King Saud University Riyadh 11362, Saudi ArabiaWe discuss the problem of deriving an estimative prediction limit as well as a simulation-based improved prediction limit for a future realization from the stationary, first-order Poisson INAR(1) process. An assessment of these limits was carried out by calculating their coverage probability, conditional on the last observation. It was found that while an estimative prediction limit may always be calculated, an improved prediction limit may not be obtained due to its discreteness and expectation to obtain a coherent prediction.http://journals.itb.ac.id/index.php/jmfs/article/view/474coverage probabilityestimative prediction limitimproved prediction limitinteger-valued time series |
| spellingShingle | Khreshna Syuhada Abdulhamid Alzaid Salah Djemili Prediction Limits for Poisson INAR(1) Process Journal of Mathematical and Fundamental Sciences coverage probability estimative prediction limit improved prediction limit integer-valued time series |
| title | Prediction Limits for Poisson INAR(1) Process |
| title_full | Prediction Limits for Poisson INAR(1) Process |
| title_fullStr | Prediction Limits for Poisson INAR(1) Process |
| title_full_unstemmed | Prediction Limits for Poisson INAR(1) Process |
| title_short | Prediction Limits for Poisson INAR(1) Process |
| title_sort | prediction limits for poisson inar 1 process |
| topic | coverage probability estimative prediction limit improved prediction limit integer-valued time series |
| url | http://journals.itb.ac.id/index.php/jmfs/article/view/474 |
| work_keys_str_mv | AT khreshnasyuhada predictionlimitsforpoissoninar1process AT abdulhamidalzaid predictionlimitsforpoissoninar1process AT salahdjemili predictionlimitsforpoissoninar1process |