title: A Binomial Integer-Valued ARCH Model.
abstract: We present an integer-valued ARCH model which can be used for modeling time series of counts with under-, equi-, or overdispersion. The introduced model has a conditional binomial distribution, and it is shown to be strictly stationary and ergodic. The unknown parameters are estimated by three methods: conditional maximum likelihood, conditional least squares and maximum likelihood type penalty function estimation. The asymptotic distributions of the estimators are derived. A real application of the novel model to epidemic surveillance is briefly discussed. Finally, a generalization of the introduced model is considered by introducing an integer-valued GARCH model.
authors.forename: Miroslav M
authors.initials: MM
authors.lastname: Ristić
authors.forename: Christian H
authors.initials: CH
authors.lastname: Weiß
authors.forename: Ana D
authors.initials: AD
authors.lastname: Janjić
mesh_terms: D016010:Binomial Distribution; D006801:Humans; D015233:Models, Statistical; D011336:Probability