Parameter Estimation Using Third-Order Cumulants For INAR (P) Processes

I. Silva and M. E.
Silva
Parameter estimation using third-order cumulants for INAR(p) processes
Parameter estimation using third-order

cumulants for INAR(p) processes
Isabel Silva1
Maria Eduarda Silva2,3
1 Departamento de Engenharia Civil and CEC, Faculdade de Engenharia da Universidade do Porto

2 Faculdade de Economia da Universidade do Porto
3 Unidade de Investigao Matemtica e Aplicaes (UIMA), Universidade de Aveiro
Workshop on Integer-valued Time Series Modelling (WINTS09)
WINTS09
1 / 17
I. Silva and M. E. Silva
Contents
Introduction
High-order statistics
INteger-valued AutoRegressive (INAR) process
Parameter estimation based on third-order cumulants
Cumulant third-order characterization of INAR(p) processes
Estimation using cumulant Third-Order Recursion equation
Monte Carlo results and application to real data

Final remarks
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High-Order Statistics (HOS)

Moments and cumulants of order higher than two
Introduction
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Lack of Gaussianity and/or non-linearity
Introduction
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Lack of Gaussianity and/or non-linearity
Notation:
{Xt } : kth-order stationary stochastic process
X (s1 , . . . , sk1 ) : kth-order joint moment of Xt , Xt+s1 , . . . , Xt+sk1
function of k 1 variables (s1 , . . . , sk1 R)
X = E[Xt ],
X (s1 , . . . , sk1 ) = E[Xt Xt+s1 . . . Xt+sk1 ]
CX (s1 , . . . , sk1 ) : kth-order joint cumulant of Xt , Xt+s1 , . . . , Xt+sk1

function of k 1 variables (s1 , . . . , sk1 R)
the coefficient of 1 2 . . . k in the Taylor series expansion (about (0, . . . , 0)) of
the cumulant generating function of Xt , Xt+s1 , . . . , Xt+sk1
Introduction
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Relations between joint moments and joint cumulants [Leonov and Shiryaev (1959)]
CX = E[Xt ] = X
CX (k) = X (k) X 2 = R(k), k Z

CX (k, m) = X (k, m) X X (k) + X (m) + X (k m) +2X 3 , k, m Z
Introduction
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Relations between joint moments and joint cumulants [Leonov and Shiryaev (1959)]
CX = E[Xt ] = X
CX (k) = X (k) X 2 = R(k), k Z

CX (k, m) = X (k, m) X X (k) + X (m) + X (k m) +2X 3 , k, m Z
Symmetry properties [Mendel (1991)]
CX (m)
= CX (m),
m>0
CX (m, n) = CX (n, m) = CX (n, m n) = CX (n m, m),
m, n > 0
Introduction
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INteger-valued AutoRegressive processes

INAR(p) [Latour (1998)]
Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et
Introduction
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Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

0 i < 1, i = 1, . . . , p 1, and 0 < p < 1, such that pk=1 k < 1
thinning operation [Steutel and Van Harn (1979); Gauthier and Latour (1994)]
ti
i Xti = j=1
Yi,j , for i = 1, . . . , p
{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with

3]=
E[Yi,j ] = i , Var[Yi,j ] = i2 and E[Yi,j
i
{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.

(independent of {Yi,j }) with E[et ] = e , Var[et ] = e2 and E[e3t ] = e
Introduction
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Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

0 i < 1, i = 1, . . . , p 1, and 0 < p < 1, such that pk=1 k < 1
thinning operation [Steutel and Van Harn (1979); Gauthier and Latour (1994)]
ti
i Xti = j=1
Yi,j , for i = 1, . . . , p
{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with

3]=
E[Yi,j ] = i , Var[Yi,j ] = i2 and E[Yi,j
i
{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.

(independent of {Yi,j }) with E[et ] = e , Var[et ] = e2 and E[e3t ] = e
Usually: Poisson INAR(p) process with binomial thinning operation
Introduction
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[Silva and Oliveira (2004, 2005) and Silva (2005)]
CX (0, 0) = pi=1 pj=1 pk=1 i j k X (i j, i k) + 3 pi=1 pj=1 j i 2 X (i j) + e

+3(e X ) pi=1 pj=1 i j X (i j) + 3X (e X ) pi=1 i 2 + 2X3
6e X 2 pi=1 i 3e (e 2 + e2 ) + X pi=1 (i 3i i 2 i3 )
CX (0, k) = pi=1 i CX (0, k i),
k>0
CX (k, k) = pi=1 pj=1 i j CX (k i, k j) + pi=1 i 2 CX (k i),

CX (k, m) = pi=1 i CX (k, m i),
k>0
m>k>0
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[Silva and Oliveira (2004, 2005) and Silva (2005)]
CX (0, 0) = pi=1 pj=1 pk=1 i j k X (i j, i k) + 3 pi=1 pj=1 j i 2 X (i j) + e

+3(e X ) pi=1 pj=1 i j X (i j) + 3X (e X ) pi=1 i 2 + 2X3
6e X 2 pi=1 i 3e (e 2 + e2 ) + X pi=1 (i 3i i 2 i3 )
CX (0, k) = pi=1 i CX (0, k i),
k>0
CX (k, k) = pi=1 pj=1 i j CX (k i, k j) + pi=1 i 2 CX (k i),

CX (k, m) = pi=1 i CX (k, m i),
k>0
m>k>0
INAR processes have a non-linear structure
st
nd
1 and 2 order cumulants are not sufficient to describe dependence structure

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Cumulant Third-Order Recursion (TOR) equation [Silva (2005)]
p
i=1
i=1
CX (k, m) i CX (i k, i m) = (k) i 2 CX (i m), 0 k m, m 6= 0

where (a) =
if a = 0,
otherwise,
is the Kronecker delta function
WINTS09
7 / 17

Cumulant Third-Order Recursion (TOR) equation [Silva (2005)]
p
i=1
i=1
CX (k, m) i CX (i k, i m) = (k) i 2 CX (i m), 0 k m, m 6= 0

where (a) =
C3,X =
if a = 0,
otherwise,
CX (0, 0)
CX (1, 1)
CX (0, 1)
.
..
CX (0, p 1)
is the Kronecker delta function

~
w
CX (k, k) = CX (0, k)
CX (p 1, p 1)
CX (0, 0)
.
..
..
.
CX (p 2, p 2)
.
..
CX (0, p 2)
CX (0, 0)
.
.
.
p
CX (0, 1)

CX (0, 2)

=
.

..

CX (0, p)
= c3,X
WINTS09
7 / 17
Estimation using cumulant TOR equation

{X1 , . . . , XM , XM+1 , . . . , X2M , . . . , X(B1)(M+1) , . . . , XN=BM }
WINTS09
8 / 17

{X1 , . . . , XM , XM+1 , . . . , X2M , . . . , X(B1)(M+1) , . . . , XN=BM }
| {z } |
{z
}
{z
}
|
1st block
2nd block
Bth block
B blocks of M observations each

(1)
(1)
(2)
(2)
(B)
(B)
{X1 , . . . , XM , X1 , . . . , XM , . . . , X1 , . . . , XM }
{z
}|
{z
}
{z
}
|
|
1st block
2nd block
Bth block
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8 / 17

{X1 , . . . , XM , XM+1 , . . . , X2M , . . . , X(B1)(M+1) , . . . , XN=BM }
| {z } |
{z
}
{z
}
|
1st block
2nd block
Bth block
B blocks of M observations each

(1)
(1)
(2)
(2)
(B)
(B)
{X1 , . . . , XM , X1 , . . . , XM , . . . , X1 , . . . , XM }
{z
}|
{z
}
{z
}
|
|
1st block
For each block:
2nd block
(i)
Bth block
1 M (i)
Xj
M j=1

1 Mk (i)
(i)
(i) 2
(i)
(i)
Xj X
C X (k, k) =
Xj+k X
,
M j=1

1 Mk (i)
(i) 2
(i)
(i)
(i)
Xj X
Xj+k X ,
C X (0, k) =
M j=1
k = 0, . . . , p 1
k = 1, . . . , p
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Overall third-order cumulant estimators:
1 B (i)
C X (k, k) = C X (k, k),
B i=1
k = 0, . . . , p 1
1 B (i)
C X (0, k) = C X (0, k),
B i=1
k = 1, . . . , p
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9 / 17

1 B (i)
C X (k, k) = C X (k, k),
B i=1
k = 0, . . . , p 1
1 B (i)
C X (0, k) = C X (0, k),
B i=1
k = 1, . . . , p
To solve the system of linear equations in order to the coefficients
C X (0, 0)
C X (0, 1)
..
.
C X (1, 1)
C X (0, 0)
..
.
C X (0, p 1)
C X (0, p 2)
..
.
C X (p 1, p 1)
C X (p 2, p 2)
..
.
C X (0, 0)
1
2
..
.
p
C X (0, 1)
C X (0, 2)
..
.
C X (0, p)
WINTS09
9 / 17

1 B (i)
C X (k, k) = C X (k, k),
B i=1
k = 0, . . . , p 1
1 B (i)
C X (0, k) = C X (0, k),
B i=1
k = 1, . . . , p
To solve the system of linear equations in order to the coefficients
C X (0, 0)
C X (0, 1)
..
.
C X (1, 1)
C X (0, 0)
..
.
C X (0, p 1)
C X (0, p 2)
e = X 1 i ,
i=1
..
.
C X (p 1, p 1)
C X (p 2, p 2)
..
.
C X (0, 0)
p
e2 = V p X i2 ,
i=1
1
2
..
.
p
C X (0, 1)
C X (0, 2)
..
.
C X (0, p)
V p = R(0)
i R(i)
i=1
WINTS09
9 / 17
Monte Carlo results

To examine the small sample properties of the proposed estimation method
To compare its performance with other methods: YW, CLS, WHT and LS_HOS
WINTS09
10 / 17
Monte Carlo results

1000 realizations of Poisson INAR(p) processes, with binomial thinning operation,
for several orders, sample sizes and parameter values
WINTS09
10 / 17
Monte Carlo results

Sample properties of the cumulant TOR estimator
The sample bias, variance and mean square error decrease as the sample size (of
the block) increases
Distribution is consistent and symmetric
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Monte Carlo results

For small sample size: evidence of departure from symmetry in the marginal
distributions, specially for values of the parameter near the non-stationary region
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Monte Carlo results

Coefficients underestimated; innovation parameter overestimated
WINTS09
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Monte Carlo results

Coefficients underestimated; innovation parameter overestimated
Fixed M statistics measures decrease as B increases and vice-versa
WINTS09
10 / 17
Monte Carlo results

N=60
N=200
Bias( )
1
0
1
2
TOR_1B
TOR_2B
TOR_4B
TOR_1B
TOR_2B
TOR_4B
TOR_1B
TOR_2B
TOR_4B
TOR_1B
TOR_2B
TOR_4B
TOR_1B
TOR_2B
TOR_4B
TOR_1B
TOR_2B
TOR_4B
Bias( )
1
0
1
2
Bias()
Figure: Boxplots of the sample bias for the estimates obtained in 1000 realizations of 60 and 500 observations of the
INAR(2) model: Xt = 0.6 Xt1 + 0.1 Xt2 + et , where et Po(1).
WINTS09
11 / 17
Monte Carlo results

(, )=(0.4, 3.0)
(, )=(0.9, 3.0)
0.8
Bias()
0.4
0.4
0.8
WHT
CLS
LS_HOS
YW
TOR_1B
WHT
CLS
LS_HOS
YW
TOR_1B
WHT
CLS
LS_HOS
YW
TOR_1B
WHT
CLS
LS_HOS
YW
TOR_1B
Bias()
2.5
2.5
Figure:
Boxplots of the sample bias for the estimates obtained in 1000 realizations of 200 observations of the INAR(1)
models: Xt = 0.4 Xt1 + et and Xt = 0.9 Xt1 + et , where et Po(1).
WINTS09
12 / 17
Application to real data

50
45
Number of plants
40
35
30
25
20
15
10
5
1920
Figure:
1930
1940
1950
1960
1970
1981
The number of Swedish mechanical paper and pulp mills, from 1921 to 1981 [Brnns (1995) and Brnns and
Hellstrm (2001)]
WINTS09
13 / 17

Simple INAR(1)
It is not assumed the Poisson distribution for the innovation process:

X = 20.40 and S2 = 155.16
WINTS09
14 / 17

Simple INAR(1)

X = 20.40 and S2 = 155.16
Method
e2
x2
MSE
CLS
0.9591
0.2017
15.2268
4.9279
192.2764
9.3254
LS_HOS
0.9269
1.3635
19.2253
18.6516
145.4513
9.2997
TOR_1B
0.9631
0.7518
14.7219
20.374
213.5073
8.9224
WINTS09
14 / 17

Simple INAR(1)

X = 20.40 and S2 = 155.16
Method
e2
x2
MSE
CLS
0.9591
0.2017
15.2268
4.9279
192.2764
9.3254
LS_HOS
0.9269
1.3635
19.2253
18.6516
145.4513
9.2997
TOR_1B
0.9631
0.7518
14.7219
20.374
213.5073
8.9224
Mean and variance of the estimated models: x =
e
(1 )( e + e2 )
and x2 =
1
(1 )2 (1 + )
WINTS09
14 / 17

Simple INAR(1)

X = 20.40 and S2 = 155.16
Method
e2
x2
MSE
CLS
0.9591
0.2017
15.2268
4.9279
192.2764
9.3254
LS_HOS
0.9269
1.3635
19.2253
18.6516
145.4513
9.2997
TOR_1B
0.9631
0.7518
14.7219
20.374
213.5073
8.9224
Mean and variance of the estimated models: x =
e
(1 )( e + e2 )
and x2 =
1
(1 )2 (1 + )
MSE between the observations and the fitted models based on TOR_1B, LS_HOS and
CLS estimates
WINTS09
14 / 17

50
real data
CLS
TOR_1B
45
40
Number of plants
35
30
25
20
15
10
5
1920
Figure:
1930
1940
1950
years
1960
1970
1981
The number of plants and the fitted values considering the TOR_1B and CLS estimates
WINTS09
15 / 17
Final remarks
Advantage of HOS: capability to detect and characterize the deviations from
Gaussianity and non-linearity of the processes
Final remarks
WINTS09
16 / 17
Final remarks
INAR processes are non-Gaussian
Parameter estimation method: Estimation using cumulant TOR equation
Final remarks
WINTS09
16 / 17
Final remarks

The method does not assume any particular discrete distribution for the counting
series and for the innovation process
Final remarks
WINTS09
16 / 17
Final remarks

Monte Carlo results: cumulant TOR estimates provides acceptable results, in
terms of sample bias, variance and mean square error
Final remarks
WINTS09
16 / 17
Final remarks

Monte Carlo results: cumulant TOR estimates provides acceptable results, in
terms of sample bias, variance and mean square error
When used in the context of a non-Poisson real dataset the estimates that use
HOS information provide a model with mean, variance and autocorrelations
closer to the sample values
Final remarks
WINTS09
16 / 17
References
MENDEL, J. M. (1991).
BRNNS, K. (1995).
Explanatory Variables in the AR(1) Count Data Model.
Ume Economic Studies 381.
Tutorial on higher-order statistics (spectra) in signal

processing and system theory: theoretical results and some
applications
BRNNS, K. and HELLSTRM, J. (2001).
Proceedings of the IEEE 79, pp. 278-305.
Generalized Integer-Valued Autoregression.
SILVA, I. (2005).
Econometric Reviews 20 (4), 425-443.
Contributions to the analysis of discrete-valued time
GAUTHIER, G. and LATOUR, A. (1994).
series.
Convergence forte des estimateurs des paramtres dun
PhD Thesis. Universidade do Porto, Portugal.
processus GENAR(p).
SILVA, M. E. and OLIVEIRA, V. L. (2004).
Annales des Sciences Mathmatiques du Qubec 18,
Difference equations for the higher-order moments and
49-71.
cumulants of the INAR(1) model.
LATOUR, A. (1998).
Journal of Time Series Analysis 25, 317-333.
Existence and stochastic structure of a non-negative
SILVA, M. E. and OLIVEIRA, V. L. (2005).
integer-valued autoregressive process.
Difference equations for the higher-order moments and
cumulants of the INAR(p) model.
LEONOV, V.P. and SHIRYAEV, A.N. (1959).
On a method of calculation of semi-invariants.

Theory of Probability and its Applications (translated by
Brown, J.R.) IV, pp. 319-329.
STEUTEL, F. W. and VAN HARN, K. (1979).

Discrete analogues of self-decomposability and stability.
The Annals of Probability 7, 893-899.
References
WINTS09
17 / 17

Parameter Estimation Using Third-Order Cumulants For INAR (P) Processes

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I. Silva and M. E.

Parameter estimation using third-order cumulants for INAR(p) processes

Parameter estimation using third-order

Maria Eduarda Silva2,3

1 Departamento de Engenharia Civil and CEC, Faculdade de Engenharia da Universidade do Porto

Workshop on Integer-valued Time Series Modelling (WINTS09)

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

INteger-valued AutoRegressive (INAR) process

Parameter estimation based on third-order cumulants

Cumulant third-order characterization of INAR(p) processes

Estimation using cumulant Third-Order Recursion equation

Monte Carlo results and application to real data

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

High-Order Statistics (HOS)

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

High-Order Statistics (HOS)

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

High-Order Statistics (HOS)

X (s1 , . . . , sk1 ) : kth-order joint moment of Xt , Xt+s1 , . . . , Xt+sk1

function of k 1 variables (s1 , . . . , sk1 R)

X (s1 , . . . , sk1 ) = E[Xt Xt+s1 . . . Xt+sk1 ]

CX (s1 , . . . , sk1 ) : kth-order joint cumulant of Xt , Xt+s1 , . . . , Xt+sk1

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

High-Order Statistics (HOS)

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

High-Order Statistics (HOS)

Symmetry properties [Mendel (1991)]

CX (m, n) = CX (n, m) = CX (n, m n) = CX (n m, m),

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

INteger-valued AutoRegressive processes

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

INteger-valued AutoRegressive processes

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with

{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

INteger-valued AutoRegressive processes

Xt = 1 Xt1 + 2 Xt2 + + p Xtp + et

{Yi,j } (counting series): set of i.i.d. non-negative integer-valued r.v. with

{et } (innovation process): sequence of i.i.d. non-negative integer-valued r.v.

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

Cumulant third-order characterization of INAR(p) processes

CX (0, 0) = pi=1 pj=1 pk=1 i j k X (i j, i k) + 3 pi=1 pj=1 j i 2 X (i j) + e

CX (k, k) = pi=1 pj=1 i j CX (k i, k j) + pi=1 i 2 CX (k i),

Parameter estimation based on third-order cumulants

I. Silva and M. E. Silva

Parameter estimation using third-order cumulants for INAR(p) processes

Cumulant third-order characterization of INAR(p) processes

CX (0, 0) = pi=1 pj=1 pk=1 i j k X (i j, i k) + 3 pi=1 pj=1 j i 2 X (i j) + e

CX (k, k) = pi=1 pj=1 i j CX (k i, k j) + pi=1 i 2 CX (k i),

INAR processes have a non-linear structure

1 and 2 order cumulants are not sufficient to describe dependence structure