A time series model: First-order integer-valued autoregressive (INAR(1))

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Abstract

Nonnegative integer-valued time series arises in many applications. A time series model: first-order Integer-valued AutoRegressive (INAR(1)) is constructed by binomial thinning operator to model nonnegative integer-valued time series. INAR (1) depends on one period from the process before. The parameter of the model can be estimated by Conditional Least Squares (CLS). Specification of INAR(1) is following the specification of (AR(1)). Forecasting in INAR(1) uses median or Bayesian forecasting methodology. Median forecasting methodology obtains integer s, which is cumulative density function (CDF) until s, is more than or equal to 0.5. Bayesian forecasting methodology forecasts h-step-ahead of generating the parameter of the model and parameter of innovation term using Adaptive Rejection Metropolis Sampling within Gibbs sampling (ARMS), then finding the least integer s, where CDF until s is more than or equal to u. u is a value taken from the Uniform(0,1) distribution. INAR(1) is applied on pneumonia case in Penjaringan, Jakarta Utara, January 2008 until April 2016 monthly.

Original languageEnglish
Title of host publicationInternational Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Subtitle of host publicationProceedings of the 2nd International Symposium on Current Progress in Mathematics and Sciences 2016
EditorsKiki Ariyanti Sugeng, Djoko Triyono, Terry Mart
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735415362
DOIs
Publication statusPublished - 10 Jul 2017
Event2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016 - Depok, Jawa Barat, Indonesia
Duration: 1 Nov 20162 Nov 2016

Publication series

NameAIP Conference Proceedings
Volume1862
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2nd International Symposium on Current Progress in Mathematics and Sciences 2016, ISCPMS 2016
Country/TerritoryIndonesia
CityDepok, Jawa Barat
Period1/11/162/11/16

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