A New Statistical Technique to Enhance MCGINAR(1) Process Estimates under Symmetric and Asymmetric Data: Fuzzy Time Series Markov Chain and Its Characteristics

Abstract

Several models for time series with integer values have been published as a result of the substantial demand for the description of process stability having discrete marginal distributions. One of these models is the mixed count geometric integer autoregressive of order one (MCGINAR(1)), which is based on two thinning operators. This study examines how the estimates of the spectral density functions of the MCGINAR(1) model are affected by fuzzy time series Markov chain (FTSMC). Regarding this study’s context, the higher-order moments, central moments and spectral density functions of MCGINAR(1) are computed. The anticipated realizations of the generated realizations for this model are obtained based on FTSMC. In the case of generated and anticipated realizations, several lag windows are used to smooth the spectral density estimators. The generated realization estimates are compared with the anticipated realization estimates using the MSE to ascertain the FTSMC’s role in improving the estimation process.

Keywords

• FTSMC
• time series
• spectrum
• bispectrum
• normalized bispectrum
• one- and two-dimensional lag window