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Long-memory models for count time series

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Bisaglia L, Caporin M, Grigoletto M

Additional Info

  • Published in: Book of short papers SIS 2020
  • Year: 2020
  • Abstract: In this paper we analyze two different approaches for modeling dependent count data with long-memory. The first model we consider explicitly takes into account the integer nature of data and the long-range correlation, while the second model is a count-data long-memory model where the distribution of the current observation is specified conditionally upon past observations. We compare these two different models by looking at their estimation and forecasting performances.
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Massimiliano Caporin

Professor in Econometrics - University of Padua

GRETA Associate, Scientific Committee and Director of the Area Investment & Financial Advisory