Al-Osh and Alzaid ( 1988 ) consider a Poisson moving average (PMA) model to describe the relation among integer-valued time series data; this model, however, is constrained by the underlying equi-dispersion assumption for count data (i.e., that the variance and the mean equal). This work instead introduces a flexible integer-valued moving average model for count data that contain over- or under-dispersion via the Conway-Maxwell-Poisson (CMP) distribution and related distributions. This first-order sum-of-Conway-Maxwell-Poissons moving average (SCMPMA(1)) model offers a generalizable construct that includes the PMA (among others) as a special case. We highlight the SCMPMA model properties and illustrate its flexibility via simulated data examples.
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