Prior Sensitivity Analysis in a Semi-Parametric Integer-Valued Time Series Model

We examine issues of prior sensitivity in a semi-parametric hierarchical extension of the INAR(p) model with innovation rates clustered according to a Pitman-Yor process placed at the top of the model hierarchy. Our main finding is a graphical criterion that guides the specification of the hyperparameters of the Pitman-Yor process base measure. We show how the discount and concentration parameters interact with the chosen base measure to yield a gain in terms of the robustness of the inferential results. The forecasting performance of the model is exemplified in the analysis of a time series of worldwide earthquake events, for which the new model outperforms the original INAR(p) model.