This work presents a construction of stationary Markov models with negative-binomial marginal distributions. A simple closed form expression for the corresponding transition probabilities is given, linking the proposal to well-known classes of birth and death processes and thus revealing interesting characterizations. The advantage of having such closed form expressions is tested on simulated and real data.

On a flexible construction of a negative binomial model / F. Leisen, R.H. Mena, F. Palma, L. Rossini. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - 152(2019), pp. 1-8.

On a flexible construction of a negative binomial model

L. Rossini
2019

Abstract

This work presents a construction of stationary Markov models with negative-binomial marginal distributions. A simple closed form expression for the corresponding transition probabilities is given, linking the proposal to well-known classes of birth and death processes and thus revealing interesting characterizations. The advantage of having such closed form expressions is tested on simulated and real data.
Birth and death process; Integer-valued time series model; Negative-binomial distribution; Stationary model
Settore SECS-S/01 - Statistica
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/833761
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