Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes

DOI10.1007/S00180-017-0748-9zbMath1417.62251OpenAlexW2731278514MaRDI QIDQ1695434

Kai Yang, Han Li, De-Hui Wang

Publication date: 7 February 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-017-0748-9

zbMATH Keywords

confidence regioninteger-valued threshold modelsSETINAR process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

Related Items (16)

Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ A study of RCINAR(1) process with generalized negative binomial marginals ⋮ On bivariate threshold Poisson integer-valued autoregressive processes ⋮ Statistical inference for self-exciting threshold INAR processes with missing values ⋮ A study of binomial AR(1) process with an alternative generalized binomial thinning operator ⋮ Efficient estimation in semiparametric self-exciting threshold INAR processes ⋮ Quantile regression for thinning-based INAR(1) models of time series of counts ⋮ Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts ⋮ On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes ⋮ A study for the NMBAR(1) processes ⋮ Threshold autoregression analysis for finite-range time series of counts with an application on measles data ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Random coefficients integer-valued threshold autoregressive processes driven by logistic regression ⋮ On MCMC sampling in self-exciting integer-valued threshold time series models ⋮ Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

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