论文标题
广义泊松差自回归过程
Generalized Poisson Difference Autoregressive Processes
论文作者
论文摘要
本文介绍了一个新的随机过程，该过程具有带有符号的整数集合z中的值。过程的增加是泊松差异，动态具有自回归结构。我们研究过程的特性，并利用稀疏表示形式，以得出平稳性条件和过程的固定分布。我们提供贝叶斯推理方法和基于蒙特卡洛的有效后近似程序。模拟和真实数据上的数值插图都显示了提出的推断的有效性。
This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and exploit the thinning representation to derive stationarity conditions and the stationary distribution of the process. We provide a Bayesian inference method and an efficient posterior approximation procedure based on Monte Carlo. Numerical illustrations on both simulated and real data show the effectiveness of the proposed inference.
