Detecting overdispersion in INARCH(1) processes

DOI10.1111/STAN.12059MaRDI QIDQ6066206zbMATH OpenOpenAlexFDO

Authors Christian H. Weiß, Sebastian Schweer

Publication date 12 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/stan.12059

zbMATH Keywords

bias correctionINAR(1) modelINARCH(1) modelindex of dispersionoverdispersion

Mathematics Subject Classification ID

Statistical distribution theory (62Exx) Parametric inference (62Fxx) Inference from stochastic processes (62Mxx)

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Cites work

• A model for integer-valued time series with conditional overdispersion
• Absolute regularity and ergodicity of Poisson count processes
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
• Estimation and testing for a Poisson autoregressive model
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• INARCH(1) processes: Higher-order moments and jumps
• Integer-Valued GARCH Process
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Modelling time series of counts with overdispersion
• Poisson autoregression
• Some Limit Theorems for Stationary Processes
• The INARCH(1) model for overdispersed time series of counts
• Univariate Discrete Distributions
• Useful models for time series of counts or simply wrong ones?

Cited in

(4)

• Testing for Poisson arrivals in INAR(1) processes
• Testing for zero inflation and overdispersion in INAR(1) models
• Local influence analysis for Poisson autoregression with an application to stock transaction data
• Specifications tests for count time series models with covariates

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