The balanced discrete triplet Lindley model and its INAR(1) extension: properties and COVID-19 applications

Abstract

Abstract This paper proposes a new flexible discrete triplet Lindley model that is constructed from the balanced discretization principle of the extended Lindley distribution. This model has several appealing statistical properties in terms of providing exact and closed form moment expressions and handling all forms of dispersion. Due to these, this paper explores further the usage of the discrete triplet Lindley as an innovation distribution in the simple integer-valued autoregressive process (INAR(1)). This subsequently allows for the modeling of count time series observations. In this context, a novel INAR(1) process is developed under mixed Binomial and the Pegram thinning operators. The model parameters of the INAR(1) process are estimated using the conditional maximum likelihood and Yule-Walker approaches. Some Monte Carlo simulation experiments are executed to assess the consistency of the estimators under the two estimation approaches. Interestingly, the proposed INAR(1) process is applied to analyze the COVID-19 cases and death series of different countries where it yields reliable parameter estimates and suitable forecasts via the modified Sieve bootstrap technique. On the other side, the new INAR(1) with discrete triplet Lindley innovations competes comfortably with other established INAR(1)s in the literature.