McMaster University

Graduate Program in Statistics



STATISTICS SEMINAR



SPEAKER:
A. A. Al-Zaid,
King Saud University, Saudi Arabia
Date :Wednesday September 26, 2001.
Time : 3:30pm
Address General Science Building
Room: 207
TITLE:
Integer-valued Autoregressive Moving Average Models
ABSTRACT:
A stochastic process X(t) is INAR(1) if there exists a sequence Z(t) of iid non-negative integer-valued random variables and a sequence Y(t,i) of iid Bernoulli random variables independent of Z(t) such that
X(t)=sum{i=1..X(t-1)}Y(t,i)+Z(t)
This process has many properties similar to the AR(1) process. It has extensions to INARMA(p,q) processes. The INAR(1) process also has branching process and queueing interpretations. Some properties of such processes will be discussed.
About the Speaker
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References


Department of Mathematics and Statistics
Graduate Program in Statistics

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Last updated on September 20, 2001