On a flexible construction of a negative binomial model

Fabrizio Leisen, Ramsés H. Mena, Freddy Palma, Luca Rossini*

*Corresponding author for this work

    Research output: Contribution to JournalArticleAcademicpeer-review

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    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.

    Original languageEnglish
    Pages (from-to)1-8
    Number of pages8
    JournalStatistics and Probability Letters
    Volume152
    Early online date17 Apr 2019
    DOIs
    Publication statusPublished - Sep 2019

    Keywords

    • Birth and death process
    • Integer-valued time series model
    • Negative-binomial distribution
    • Stationary model

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