29.05.2026.
Abstract
Natural Sciences
A NOVEL INAR(1) MODEL WITH TWO LATENT MARKOV PROCESSES FOR REGIME AND DISTRIBUTION PARAMETER CONTROL
The authors propose a new model for count time series based on a hybrid structure that combines an autoregressive component with an innovation-driven component, where regime selection at each time point is governed by a latent Markov process. The key novelty of the model is the introduction of an additional, independent latent process that dynamica...
By Milena Stojanović, Teodora Čamagić, Aleksandar Nastić