Coherent forecasting for count time series using Box–Jenkins's AR(p) model

During the last three decades, integer‐valued autoregressive process of order p [or INAR( p )] based on different operators have been proposed as a natural, intuitive and maybe efficient model for integer‐valued time‐series data. However, this literature is surprisingly mute on the usefulness of the standard AR( p ) process, which is otherwise meant for continuous‐valued time‐series data. In this paper, we attempt to explore the usefulness of the standard AR( p ) model for obtaining coherent forecasting from integer‐valued time series. First, some advantages of this standard Box–Jenkins's type... Mehr ...