On a flexible construction of a negative binomial model

Fabrizio Leisen; Ramsés H. Mena; Freddy Palma; Luca Rossini

doi:10.1016/j.spl.2019.04.004

On a flexible construction of a negative binomial model

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

^*Corresponding author for this work

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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 language	English
Pages (from-to)	1-8
Number of pages	8
Journal	Statistics and Probability Letters
Volume	152
Early online date	17 Apr 2019
DOIs	https://doi.org/10.1016/j.spl.2019.04.004
Publication status	Published - Sept 2019

Funding

We thank the Editor, Associate Editor and an anonymous reviewer for the useful comments which significantly improved the presentation and quality of the paper. Fabrizio Leisen was supported by the European Community’s Seventh Framework Programme [FP7/2007–2013] under grant agreement no: 630677 . Ramsés H. Mena gratefully acknowledges the support of CONTEX, Mexico project 2018-9B . Freddy Palma acknowledge the support of CONACT project 241195 . Luca Rossini has received funding from the European Union’s Horizon 2020 research and innovation programme under the Marie Sklodowska-Curie grant agreement no 796902 .

Funders	Funder number
CONACT
CONTEX	2018-9B
Horizon 2020 Framework Programme
H2020 Marie Skłodowska-Curie Actions
Seventh Framework Programme	796902, 630677
Seventh Framework Programme
Horizon 2020	241195

Keywords

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

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.spl.2019.04.004

On a flexible construction of a negative binomial modelFinal published version, 289 KBLicence: Article 25fa Dutch Copyright Act

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AU - Palma, Freddy

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KW - Integer-valued time series model

KW - Negative-binomial distribution

KW - Stationary model

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On a flexible construction of a negative binomial model

Abstract

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Keywords

UN SDGs

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