Anda di halaman 1dari 32

I. Silva and M.E.

Silva

Parameter estimation for INAR processes based on HOS

Parameter estimation for INAR processes based on High-Order Statistics


Isabel Silva1 Maria Eduarda Silva2,3

1 Centro das Construes (CEC) e Departamento de Engenharia Civil, Faculdade de Engenharia da Universidade do Porto 2 Grupo de Matemtica e Informtica, Faculdade de Economia da Universidade do Porto 3 Unidade de Investigao Matemtica e Aplicaes (UIMA), Universidade de Aveiro

COMPSTAT 2008

August, 2008

1/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Outline

Introduction

High-Order Statistics (HOS) INteger-valued AutoRegressive (INAR) processes

Least square estimation using HOS Monte Carlo results and application to real data Final remarks

August, 2008

2/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)


Moments and cumulants of order higher than two

Introduction

August, 2008

3/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)


Moments and cumulants of order higher than two

Lack of Gaussianity and/or non-linearity

Introduction

August, 2008

3/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)


Moments and cumulants of order higher than two

Lack of Gaussianity and/or non-linearity

Notation:

{Xt } : kth-order stationary stochastic process

X (s1 , . . . , sk1 ) : kth-order joint moment of Xt , Xt+s1 . . . , Xt+sk1 , (s1 , . . . , sk1 R) X (s1 , . . . , sk1 ) = E[Xt Xt+s1 . . . Xt+sk1 ] X = E[Xt ]

Introduction

August, 2008

3/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes


INAR(p) [Latour, 1998]

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

Introduction

August, 2008

4/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes


INAR(p) [Latour, 1998]

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et 0 i < 1, i = 1, . . . , p 1, and 0 < p < 1, such that p k < 1 k=1 thinning operation [Steutel and Van Harn, 1979; Gauthier and Latour, 1994)]
ti i Xti = j=1 Yi,j , for i = 1, . . . , p,

{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with


3 E[Yi,j ] = i , Var[Yi,j ] = i2 and E[Yi,j ] = i

{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.


2 (independent of {Yi,j }) with E[et ] = e , Var[et ] = e and E[e3 ] = e t

Introduction

August, 2008

4/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes


INAR(p) [Latour, 1998]

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et 0 i < 1, i = 1, . . . , p 1, and 0 < p < 1, such that p k < 1 k=1 thinning operation [Steutel and Van Harn, 1979; Gauthier and Latour, 1994)]
ti i Xti = j=1 Yi,j , for i = 1, . . . , p,

{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with


3 E[Yi,j ] = i , Var[Yi,j ] = i2 and E[Yi,j ] = i

{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.


2 (independent of {Yi,j }) with E[et ] = e , Var[et ] = e and E[e3 ] = e t

Usually: Poisson INAR(p) process with binomial thinning operation


Introduction August, 2008 4/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Third-order moments of INAR processes


[Silva and Oliveira (2004, 2005) and Silva (2005)] p p p

X (0, 0) =

i=1 j=1 k=1

i j k X (i j, i k) + 3 j i 2 X (i j) + 3X e i 2 + e
i=1 j=1 i=1 p p p p i=1 i=1 j=1 i=1

2 + 3X (e + e 2 ) i + 3e i j X (i j) + X (i 3i i 2 i3 )

X (0, k) = i X (0, k i) + e X (0), k > 0 X (k, k) = i j X (k i, k j) + i 2 X (k i) + 2e X (k) X (e 2 e 2 ), k > 0 X (k, m) = i X (k, m i) + e X (k),
i=1 i=1 j=1 p i=1 i=1 p p p

m>k>0

Least square estimation using HOS

August, 2008

5/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Third-order moments of INAR processes


[Silva and Oliveira (2004, 2005) and Silva (2005)] p p p

X (0, 0) =

i=1 j=1 k=1

i j k X (i j, i k) + 3 j i 2 X (i j) + 3X e i 2 + e
i=1 j=1 i=1 p p p p i=1 i=1 j=1 i=1

2 + 3X (e + e 2 ) i + 3e i j X (i j) + X (i 3i i 2 i3 )

X (0, k) = i X (0, k i) + e X (0), k > 0 X (k, k) = i j X (k i, k j) + i 2 X (k i) + 2e X (k) X (e 2 e 2 ), k > 0 X (k, m) = i X (k, m i) + e X (k),
i=1 i=1 j=1 p i=1 i=1 p p p

m>k>0

INAR processes have a non-linear structure 1 and 2 order moments are not sufcient to describe dependence structure
Least square estimation using HOS August, 2008 5/1

st

nd

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


{x1 , x2 , . . . , xn } : realization of a non-negative integer-valued stationary stochastic process with third-order moments (0, k), k > 0

Least square estimation using HOS

August, 2008

6/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


{x1 , x2 , . . . , xn } : realization of a non-negative integer-valued stationary stochastic process with third-order moments (0, k), k > 0
2 Approximating model: INAR(p) with parameters 1 , , p , e , e and

third-order moments X (0, k), k > 0, which can be represented in the following matrix form:

3,X = M3,X + e X (0)1p

X (0, 1)

X (0, 2) . . . X (0, p)

X (0, 0) X (0, 1) . . . X (0, p 1)


p

X (1, 1) X (0, 0) . . . X (0, p 2)

... ... .. . ...

X (p 1, p 1) X (p 2, p 2) . . . X (0, 0)

2 . . . p
p

+ e X (0)

1 1 . . . 1

X (0) = i X (i) + e X + Vp , with Vp = e 2 + X i 2


i=1 i=1
Least square estimation using HOS August, 2008 6/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


Dening H = [M3,X

X (0)1p ]

and

= [ 1

e ]T

3,X = H

Least square estimation using HOS

August, 2008

7/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


Dening H = [M3,X

X (0)1p ]

and

= [ 1

e ]T

3,X = H

may be estimated by least squares, ie, minimizing the squared error between 3,X
and the third-order moments of the data:

3 = [ (0, 1)

(0, p) ]T

Least square estimation using HOS

August, 2008

7/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


Dening H = [M3,X

X (0)1p ]

and

= [ 1

e ]T

3,X = H

may be estimated by least squares, ie, minimizing the squared error between 3,X
and the third-order moments of the data:

3 = [ (0, 1)
Least Squares estimator of using HOS (LS_HOS)

(0, p) ]T

= min {L ( )} = min {( 3 H )T ( 3 H )}

Least square estimation using HOS

August, 2008

7/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS


Dening H = [M3,X

X (0)1p ]

and

= [ 1

e ]T

3,X = H

may be estimated by least squares, ie, minimizing the squared error between 3,X
and the third-order moments of the data:

3 = [ (0, 1)
Least Squares estimator of using HOS (LS_HOS)

(0, p) ]T

= min {L ( )} = min {( 3 H )T ( 3 H )}

In practice:

= min {L ( )} = min {( 3 H )T ( 3 H )}

Least square estimation using HOS August, 2008 7/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Monte Carlo results


To examine the small sample properties of the LS_HOS To compare its performance with other estimation methods: YW, CLS and WHT

Monte Carlo results and application to real data

August, 2008

8/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Monte Carlo results


To examine the small sample properties of the LS_HOS To compare its performance with other estimation methods: YW, CLS and WHT 1000 realizations of Poisson INAR(p) processes, with binomial thinning operation, for several orders, sample sizes and parameter values

Monte Carlo results and application to real data

August, 2008

8/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Monte Carlo results


To examine the small sample properties of the LS_HOS To compare its performance with other estimation methods: YW, CLS and WHT 1000 realizations of Poisson INAR(p) processes, with binomial thinning operation, for several orders, sample sizes and parameter values
Sample properties of the LS_HOS estimator

The sample bias, variance and mean square error decrease as the sample size increases Distribution of the estimators is consistent and symmetric

Monte Carlo results and application to real data

August, 2008

8/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Monte Carlo results


To examine the small sample properties of the LS_HOS To compare its performance with other estimation methods: YW, CLS and WHT 1000 realizations of Poisson INAR(p) processes, with binomial thinning operation, for several orders, sample sizes and parameter values
Sample properties of the LS_HOS estimator

The sample bias, variance and mean square error decrease as the sample size increases Distribution of the estimators is consistent and symmetric For small sample size: evidence of departure from symmetry in the marginal distributions, specially for values of the parameter near the non-stationary region
Monte Carlo results and application to real data August, 2008 8/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Monte Carlo results


0.6 0.4 Bias() 0.2 0 0.2 0.4 YW CLS WHT LS_HOS YW CLS WHT LS_HOS N=50 N=200

4 2 Bias() 0 2 4

YW

CLS

WHT LS_HOS

YW

CLS

WHT LS_HOS

Figure:

Boxplots of the sample bias for the estimates obtained in 1000 realizations of 50 and 200 observations of the

INAR(1) model: Xt = 0.9 Xt1 + et , where et Po(1)


Monte Carlo results and application to real data August, 2008 9/1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


50 45 40 35 30 25 20 15 10 5 1920

Number of plants

1930

1940

1950

1960

1970

1981

Figure:

The number of Swedish mechanical paper and pulp mills, from 1921 to 1981 [Brnns (1995) and Brnns and

Hellstrm (2001)]
Monte Carlo results and application to real data August, 2008 10 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


Simple INAR(1)

It is not assumed the Poisson distribution for the innovation process: X = 20.40 and S2 = 155.16

Monte Carlo results and application to real data

August, 2008

11 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


Simple INAR(1)

It is not assumed the Poisson distribution for the innovation process: X = 20.40 and S2 = 155.16
Method CLS LS_HOS Table: 0.9591 0.9269 e 0.2017 1.3635 2 e 15.2268 19.2253 x 4.9315 18.6525 2 x 192.2764 145.4513 MSE 8.5494 7.4465

The parameter estimates of the number of Swedish mechanical paper and pulp mills

Monte Carlo results and application to real data

August, 2008

11 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


Simple INAR(1)

It is not assumed the Poisson distribution for the innovation process: X = 20.40 and S2 = 155.16
Method CLS LS_HOS Table: 0.9591 0.9269 e 0.2017 1.3635 2 e 15.2268 19.2253 x 4.9315 18.6525 2 x 192.2764 145.4513 MSE 8.5494 7.4465

The parameter estimates of the number of Swedish mechanical paper and pulp mills

Mean and variance of the estimated models: x =

2 e (1 )(e + e ) 2 and x = 1 (1 )2 (1 + )

Monte Carlo results and application to real data

August, 2008

11 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


Simple INAR(1)

It is not assumed the Poisson distribution for the innovation process: X = 20.40 and S2 = 155.16
Method CLS LS_HOS Table: 0.9591 0.9269 e 0.2017 1.3635 2 e 15.2268 19.2253 x 4.9315 18.6525 2 x 192.2764 145.4513 MSE 8.5494 7.4465

The parameter estimates of the number of Swedish mechanical paper and pulp mills

Mean and variance of the estimated models: x =

2 e (1 )(e + e ) 2 and x = 1 (1 )2 (1 + )

MSE between the observations and the tted models based on LS_HOS and CLS estimates
Monte Carlo results and application to real data August, 2008 11 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Application to real data


50 45 40 35 30 25 20 15 10 5 1920 Real data CLS LS_HOS

Number of plants

1930

1940

1950

1960

1970

1981

Figure:

The number of plants and the tted values considering the LS_HOS and CLS estimates
Monte Carlo results and application to real data August, 2008 12 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Final remarks
Advantage of HOS: capability to detect and characterize the deviations from Gaussianity and non-linearity of the processes

Final remarks

August, 2008

13 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Final remarks
Advantage of HOS: capability to detect and characterize the deviations from Gaussianity and non-linearity of the processes INAR processes are non-Gaussian Parameter estimation method: Least squares using HOS Minimize the errors between the third-order moment of the observations and of the tted model

Final remarks

August, 2008

13 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Final remarks
Advantage of HOS: capability to detect and characterize the deviations from Gaussianity and non-linearity of the processes INAR processes are non-Gaussian Parameter estimation method: Least squares using HOS Minimize the errors between the third-order moment of the observations and of the tted model Monte Carlo results: LS_HOS provides good results, in terms of sample bias, variance and mean square error

Final remarks

August, 2008

13 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Final remarks
Advantage of HOS: capability to detect and characterize the deviations from Gaussianity and non-linearity of the processes INAR processes are non-Gaussian Parameter estimation method: Least squares using HOS Minimize the errors between the third-order moment of the observations and of the tted model Monte Carlo results: LS_HOS provides good results, in terms of sample bias, variance and mean square error When used in the context of a non-Poisson real dataset the LS_HOS estimates provide a model with mean, variance and autocorrelations closer to the sample values
Final remarks August, 2008 13 / 1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

References
BRNNS, K. (1995). Explanatory Variables in the AR(1) Count Data Model. Ume Economic Studies 381. BRNNS, K. and HELLSTRM, J. (2001). Generalized Integer-Valued Autoregression. Econometric Reviews 20 (4), 425-443. GAUTHIER, G. and LATOUR, A. (1994). Convergence forte des estimateurs des paramtres dtun processus GENAR(p). Annales des Sciences Mathmatiques du Qubec 18, 49-71. LATOUR, A. (1998). Existence and stochastic structure of a non-negative integer-valued autoregressive process. Journal of Time Series Analysis 19, 439-455. SILVA, I. (2005). Contributions to the analysis of discrete-valued time series. PhD Thesis. Universidade do Porto, Portugal. SILVA, M. E. and OLIVEIRA, V. L. (2004). Difference equations for the higher-order moments and cumulants of the INAR(1) model. Journal of Time Series Analysis 25, 317-333. SILVA, M. E. and OLIVEIRA, V. L. (2005). Difference equations for the higher-order moments and cumulants of the INAR(p) model. Journal of Time Series Analysis 26, 17-36. STEUTEL, F. W. and VAN HARN, K. (1979). Discrete analogues of self-decomposability and stability. The Annals of Probability 7, 893-899. References August, 2008 14 / 1