Integer Valued Autoegressive Process with Katz Arrivals and Its Application in Predicting the Count of the Cases of Respiratory Disease

The traditional PAR process (Poisson autoregressive process) assumes that the arrival process is the equi-dispersed Poisson process, with its mean being equal to its variance. Whereas the arrival process in the real DGP (data generating process) could either be over-dispersed, with variance being greater than the mean, or under-dispersed, with variance being less than the mean. This paper proposes using the Katz family distributions to model the arrival process in the INAR process (integer valued autoregressive process with Katz arrivals) and deploying Monte Carlo simulations to examine the performance of maximum likelihood (ML) and method of moments (MM) estimators of INAR-Katz model. Finally, we used the INAR-Katz process to model count data of hospital emergency room visits for respiratory disease. The results show that the INAR-Katz model outperforms the Poisson model, PAR(1) model, and has great potential in empirical application.