Forecasting in INAR(1) Model
In this work we consider the problem of forecasting integer-valued time series, modelled by the INAR(1) process introduced by McKenzie (1985) and Al-Osh and Alzaid (1987). The theoretical properties and practical applications of INAR and related processes have been discussed extensively in the lite...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2009-04-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/77 |
| _version_ | 1818513145012944896 |
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| author | Nélia Silva Isabel Pereira M. Eduarda Silva |
| author_facet | Nélia Silva Isabel Pereira M. Eduarda Silva |
| author_sort | Nélia Silva |
| collection | DOAJ |
| description |
In this work we consider the problem of forecasting integer-valued time series, modelled by the INAR(1) process introduced by McKenzie (1985) and Al-Osh and Alzaid (1987). The theoretical properties and practical applications of INAR and related processes have been discussed extensively in the literature but there is still some discussion on the problem of producing coherent, i.e. integer-valued, predictions. Here Bayesian methodology is used to obtain point predictions as well as confidence intervals for future values of the process. The predictions thus obtained are compared with their classic counterparts. The proposed approaches are illustrated with a simulation study and a real example.
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| first_indexed | 2024-12-10T23:57:02Z |
| format | Article |
| id | doaj.art-731224498dcb4cc58ce688b5029e82fb |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-12-10T23:57:02Z |
| publishDate | 2009-04-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-731224498dcb4cc58ce688b5029e82fb2022-12-22T01:28:33ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712009-04-017110.57805/revstat.v7i1.77Forecasting in INAR(1) ModelNélia Silva 0Isabel Pereira 1M. Eduarda Silva 2Universidade de AveiroUniversidade de AveiroUniversidade de Aveiro In this work we consider the problem of forecasting integer-valued time series, modelled by the INAR(1) process introduced by McKenzie (1985) and Al-Osh and Alzaid (1987). The theoretical properties and practical applications of INAR and related processes have been discussed extensively in the literature but there is still some discussion on the problem of producing coherent, i.e. integer-valued, predictions. Here Bayesian methodology is used to obtain point predictions as well as confidence intervals for future values of the process. The predictions thus obtained are compared with their classic counterparts. The proposed approaches are illustrated with a simulation study and a real example. https://revstat.ine.pt/index.php/REVSTAT/article/view/77INAR modelsBayesian predictioninteger predictionMarkov Chain Monte Carlo algorithm |
| spellingShingle | Nélia Silva Isabel Pereira M. Eduarda Silva Forecasting in INAR(1) Model Revstat Statistical Journal INAR models Bayesian prediction integer prediction Markov Chain Monte Carlo algorithm |
| title | Forecasting in INAR(1) Model |
| title_full | Forecasting in INAR(1) Model |
| title_fullStr | Forecasting in INAR(1) Model |
| title_full_unstemmed | Forecasting in INAR(1) Model |
| title_short | Forecasting in INAR(1) Model |
| title_sort | forecasting in inar 1 model |
| topic | INAR models Bayesian prediction integer prediction Markov Chain Monte Carlo algorithm |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/77 |
| work_keys_str_mv | AT neliasilva forecastingininar1model AT isabelpereira forecastingininar1model AT meduardasilva forecastingininar1model |