Title: An integer-valued autoregressive process for seasonality
Authors: Andrius Buteikis - Vilnius University Faculty of Mathematics and Informatics (Lithuania) [presenting]
Remigijus Leipus - Vilnius University (Lithuania)
Abstract: An integer-valued autoregressive process of order 1 for seasonality with period $d$ and intra-seasonally dependent innovations ($\rm SINAR(1)_d$) is proposed. Model properties are provided for the univariate and multivariate representation of the process. A computationally fast estimation method, which is based on conditional least squares with parameter restrictions, is proposed for the multivariate model representation and compared with a likelihood-based estimation method via the Monte Carlo simulation. An empirical application on different types of Chicago crime data is carried out in order to assess whether the proposed model is able to capture adequately the seasonality patterns in non-synthetic data.