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Abdulhamid Alzaid
Dept.Statistics & O.R. - King Saud University
Astronomy Chemistry Earth & Planetary Sciences Mathematics Physics

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Prediction Limits for Poisson INAR(1) Process Khreshna Syuhada; Abdulhamid Alzaid; Salah Djemili
Journal of Mathematical and Fundamental Sciences Vol. 47 No. 2 (2015)
Publisher : Institute for Research and Community Services (LPPM) ITB

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.5614/j.math.fund.sci.2015.47.2.1

Abstract

We discuss the problem of deriving an estimative prediction limit as well as a simulation-based improved prediction limit for a future realization from the stationary, first-order Poisson INAR(1) process. An assessment of these limits was carried out by calculating their coverage probability, conditional on the last observation. It was found that while an estimative prediction limit may always be calculated, an improved prediction limit may not be obtained due to its discreteness and expectation to obtain a coherent prediction.
Co-Authors Khreshna Syuhada Salah Djemili