A new class of Z-valued INAR(1) models with application to mutual fund flows
针对经济和金融中常见的整数值时间序列，提出一类新的INAR(1)模型，改进数据生成机制和统计推断，并在共同基金流量数据中验证了模型的良好表现。
Z -valued time series , which have discrete and quantitative observations on the set Z = { . . . , − 2 , − 1 , 0 , 1 , 2 , … } , are commonly observed in economics and finance . Z -valued versions of integer-valued autoregressive (INAR) models are frequently employed to fit Z -valued time series . However, the existing Z -valued INAR models encounter difficulties in data generation mechanism and statistical inference. To enhance the modeling and prediction of Z -valued time series, this article constructs a class of Z -valued INAR(1) models from a new perspective and studies the related statistical inference problem. Empirically, an application to mutual fund flows demonstrates that our model offers satisfactory performance in economics and finance .