An integer-valued threshold autoregressive process based on negative binomial thinning

DOI10.1007/S00362-016-0808-1zbMath1415.62068OpenAlexW2478692615MaRDI QIDQ1785821

Kai Yang, Han Li, Boting Jia, De-Hui Wang

Publication date: 1 October 2018

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-016-0808-1

zbMATH Keywords

estimationconditional maximum likelihoodnegative binomial thinninginteger-valued threshold modelsconditional least squaremin-min algorithm

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Applications of statistics to physics (62P35)

Related Items (23)

Fractional approaches for the distribution of innovation sequence of INAR(1) processes ⋮ 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 ⋮ Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure ⋮ A New Generalization of Geometric Distribution with Properties and Applications ⋮ First-order integer-valued autoregressive process with Markov-switching coefficients ⋮ On bivariate threshold Poisson integer-valued autoregressive processes ⋮ First-order binomial autoregressive processes with Markov-switching coefficients ⋮ A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models ⋮ Statistical inference for self-exciting threshold INAR processes with missing values ⋮ Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes ⋮ On a periodic negative binomial SETINAR model ⋮ On a periodic SETINAR model ⋮ Efficient estimation in semiparametric self-exciting threshold INAR processes ⋮ Imputation-based semiparametric estimation for INAR(1) processes with missing data ⋮ Quantile regression for thinning-based INAR(1) models of time series of counts ⋮ Random coefficients integer-valued threshold autoregressive processes driven by logistic regression ⋮ First-order random coefficients integer-valued threshold autoregressive processes ⋮ 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 ⋮ Mixed Poisson INAR(1) processes ⋮ First-order random coefficient INAR process with dependent counting series ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes

Uses Software

• R

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