Apresentacao COMPSTAT2008

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
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
High-Order Statistics (HOS)

Moments and cumulants of order higher than two
Introduction
August, 2008
3/1

Lack of Gaussianity and/or non-linearity
Introduction
August, 2008
3/1

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
INteger-valued AutoRegressive processes

INAR(p) [Latour, 1998]
Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et
Introduction
August, 2008
4/1

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

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
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
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

{x1 , x2 , . . . , xn } : realization of a non-negative integer-valued stationary stochastic process with third-order moments (0, k), k > 0
August, 2008
6/1

{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

Dening H = [M3,X
X (0)1p ]
and
= [ 1
e ]T
3,X = H
August, 2008
7/1

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
August, 2008
7/1

Dening H = [M3,X
X (0)1p ]
and
= [ 1
e ]T
3,X = H
3 = [ (0, 1)
Least Squares estimator of using HOS (LS_HOS)
(0, p) ]T
= min {L ( )} = min {( 3 H )T ( 3 H )}

August, 2008
7/1

Dening H = [M3,X
X (0)1p ]
and
= [ 1
e ]T
3,X = H
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 )}

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
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
August, 2008
8/1
Monte Carlo results

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
August, 2008
8/1
Monte Carlo results

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
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
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

Simple INAR(1)
It is not assumed the Poisson distribution for the innovation process: X = 20.40 and S2 = 155.16
August, 2008
11 / 1

Simple INAR(1)
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
August, 2008
11 / 1

Simple INAR(1)
Mean and variance of the estimated models: x =
2 e (1 )(e + e ) 2 and x = 1 (1 )2 (1 + )
August, 2008
11 / 1

Simple INAR(1)
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

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
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
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
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
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
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

Apresentacao COMPSTAT2008

Transféré par

Informations du document

Titre original

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

Apresentacao COMPSTAT2008

Transféré par

Droits d'auteur :

Formats disponibles

I. Silva and M.E.

Parameter estimation for INAR processes based on HOS

Parameter estimation for INAR processes based on High-Order Statistics

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

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

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)

Lack of Gaussianity and/or non-linearity

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

High-Order Statistics (HOS)

Lack of Gaussianity and/or non-linearity

{Xt } : kth-order stationary stochastic process

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes

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

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes

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

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

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

INteger-valued AutoRegressive processes

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

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

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

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Third-order moments of INAR processes

i=1 j=1 k=1

Least square estimation using HOS

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Third-order moments of INAR processes

i=1 j=1 k=1

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS

Least square estimation using HOS

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS

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

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

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

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

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

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS

Least square estimation using HOS

I. Silva and M.E. Silva

Parameter estimation for INAR processes based on HOS

Least square estimation using HOS

Least square estimation using HOS

I. Silva and M.E. Silva