A new look at time series of counts
计数时间序列的新视角
This paper proposes a simple new model for stationary time series of integer counts. Previous work has focused on thinning methods and classical time series autoregressive moving-average difference equations; in contrast, our methods use a renewal process to generate a correlated sequence of Bernoulli trials. By superpositioning independent copies of such processes, stationary series with binomial, Poisson, geometric or any other discrete marginal distribution can be readily…