A new skew integer valued time series process

DOI10.1016/J.STAMET.2016.01.002MaRDI QIDQ670104zbMATH OpenOpenAlexFDO

Authors Marcelo Bourguignon, Klaus L. P. Vasconcellos

Publication date 18 March 2019

Published in Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.stamet.2016.01.002

zbMATH Keywords

INAR(1) processinteger-valued time seriesthinning operatorYule-Walker estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A p-order signed integer-valued autoregressive (SINAR(p)) model
• A class of discrete distributions arising from difference of two random variables
• A combined geometric \(INAR(p)\) model based on negative binomial thinning
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• A non-stationary integer-valued autoregressive model
• A skew INAR(1) process on \(\mathbb {Z}\)
• Analysis of low count time series data by poisson autoregression
• Asymptotic distribution of the Yule--Walker estimator for INAR(p) processes
• Bayesian modelling of football outcomes: using the Skellam's distribution for the goal difference
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• Discrete analogues of self-decomposability and stability
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order rounded integer-valued autoregressive (RINAR(l)) process
• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• scientific article; zbMATH DE number 1232374 (Why is no real title available?)
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• On the Poisson difference distribution inference and applications
• Some geometric mixed integer-valued autoregressive (INAR) models
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Thinning operations for modeling time series of counts -- a survey
• True integer value time series

Cited in

(11)

• A skew INAR(1) process on \(\mathbb {Z}\)
• True integer value time series
• Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
• Poisson difference integer valued autoregressive model of order one
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• A note on an integer valued time series model with Poisson-negative binomial marginal distribution
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts
• A new class of \(\mathbb{Z}\)-valued INAR(1) models with application to mutual fund flows
• A class of smooth transition \(\mathbb{Z}\)-valued autoregressive model with signed binomial thinning

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