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Self-exciting threshold binomial autoregressive processes

Moller, Tobias A.; Silva, Maria Eduarda ; Weiss, Christian H.; Scotto, Manuel; Pereira, Isabel

AStA Advances in Statistical Analysis, 100 (2016), 369-400

We introduce a new class of integer-valued self-exciting threshold models, which is based on the binomial autoregressive model of order one as introduced by McKenzie (Water Resour Bull 21:645–650, 1985. doi:10.1111/j.1752-1688.1985.tb05379.x). Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. Finally, the performance of these models is illustrated through a simulation study and an empirical application to a set of measle cases in Germany.