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Pages 2717-2737
Received 29 Sep 2009
Accepted 17 Jan 2011
Published online: 19 Jun 2012
 
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In this article, we introduce a class of self-exciting threshold integer-valued autoregressive models driven by independent Poisson-distributed random variables. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation is also addressed. Specifically, the methods of estimation under analysis are the least squares-type and likelihood-based ones. Their performance is compared through a simulation study.

Keywords: Count processesBinomial thinningThreshold models
2000 Mathematics Subject Classification: 62M1091B7060G10

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