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First-order integer valued AR processes with zero inflated poisson innovations


Correspondence to: Chin-Diew Lai, Institute of Fundamental Sciences, Massey University, Palmerston North, New Zealand.


The first-order nonnegative integer valued autoregressive process has been applied to model the counts of events in consecutive points of time. It is known that, if the innovations are assumed to follow a Poisson distribution then the marginal model is also Poisson. This model may however not be suitable for overdispersed count data. One frequent manifestation of overdispersion is that the incidence of zero counts is greater than expected from a Poisson model. In this paper, we introduce a new stationary first-order integer valued autoregressive process with zero inflated Poisson innovations. We derive some structural properties such as the mean, variance, marginal and joint distribution functions of the process. We consider estimation of the unknown parameters by conditional or approximate full maximum likelihood. We use simulation to study the limiting marginal distribution of the process and the performance of our fitting algorithms. Finally, we demonstrate the usefulness of the proposed model by analyzing some real time series on animal health laboratory submissions.