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

DOI10.1007/S00362-016-0808-1MaRDI QIDQ1785821zbMATH OpenOpenAlexFDO

Authors Kai Yang, Boting Jia, Han Li, Dehui 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)

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Cites work

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Cited in

(45)

• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
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• Threshold integer-valued autoregressive model with serially dependent innovation
• First-order random coefficients integer-valued threshold autoregressive processes
• First-order random coefficient binomial AR process with dependent counting series
• Mixed Poisson INAR(1) processes
• On Periodic Generalized Poisson INAR ( p ) Models
• A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued autoregressive processes
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• First-order binomial autoregressive processes with Markov-switching coefficients
• A New Generalization of Geometric Distribution with Properties and Applications
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Self-exciting hysteretic binomial autoregressive processes
• Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models
• First-order random coefficient INAR process with dependent counting series
• Generalized Poisson integer-valued autoregressive processes with structural changes
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• On a periodic SETINAR model
• Quantile regression for thinning-based INAR(1) models of time series of counts
• On bivariate threshold Poisson integer-valued autoregressive processes
• High-order self-excited threshold integer-valued autoregressive model: estimation and testing
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• A new integer-valued threshold autoregressive process based on modified negative binomial operator driven by explanatory variables
• Quantile regression estimation for self-exciting threshold integer-valued autoregressive process
• A class of smooth transition \(\mathbb{Z}\)-valued autoregressive model with signed binomial thinning
• On a periodic negative binomial SETINAR model
• A class of mixed thinning threshold integer-valued autoregressive model for the COVID-19 data
• Random environment threshold integer-valued autoregressive process and parameter estimation
• A study of RCINAR(1) process with generalized negative binomial marginals
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• Observation-driven random coefficient threshold INAR models for count time series
• Imputation-based semiparametric estimation for INAR(1) processes with missing data
• Estimation in an integer-valued autoregressive process with negative binomial marginals\newline (NBINAR(1))
• First-order integer-valued autoregressive process with Markov-switching coefficients
• Statistical inference for self-exciting threshold INAR processes with missing values
• Local asymptotic normality and optimal estimation for self-excited threshold generalized INAR(p) models
• High-order self-excited multiple thresholds generalized integer-valued autoregressive model
• On MCMC sampling in self-exciting integer-valued threshold time series models
• Fractional approaches for the distribution of innovation sequence of INAR(1) processes
• A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning
• A first-order random coefficient mixed-thinning threshold integer-valued autoregressive model to analyze the COVID-19 data
• Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure

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