The autocorrelation structure of integer-valued autoregressive random fields
Abstract
After clarifying possible misunderstandings concerning covariances of thinned random variables, we propose a refined definition of the first-order integer-valued autoregressive model for count random fields. We provide a comprehensive derivation of its autocorrelation structure, which also covers some former results. Moreover, we expand the refined model to higher-order autoregressions and study its stochastic properties.
Fields of Study & Subjects
Financial Risk and Volatility Modeling
Statistical Distribution Estimation and Applications
Statistical Methods and Inference
Publication details
- Journal / source
- Statistics & Probability Letters
- Publisher
- Elsevier BV
- Volume
- 233
- Pages
- 110681–110681
- Publication date
- 7 February 2026
- Language
- EN