Efficient order selection algorithms for integer-valued ARMA processes

DOI10.1111/J.1467-9892.2008.00592.XMaRDI QIDQ3077639zbMATH OpenOpenAlexFDO

Authors Victor Enciso-Mora, Peter Neal, T. Subba Rao

Publication date 22 February 2011

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://eprints.maths.manchester.ac.uk/665/1/model_051206.pdf

zbMATH Keywords

count dataEM algorithminteger-valued time seriesreversible jump MCMC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• MCMC for Integer-Valued ARMA processes
• Bayesian analysis of autoregressive moving average processes with unknown orders
• scientific article; zbMATH DE number 1234613
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• scientific article; zbMATH DE number 6746251

Cites work

• Analysis of low count time series data by poisson autoregression
• Discrete analogues of self-decomposability and stability
• Efficient Construction of Reversible Jump Markov Chain Monte Carlo Proposal Distributions
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• MCMC for Integer-Valued ARMA processes
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Observation-driven models for Poisson counts
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• The Multivariate Ginar(p) Process

Cited in

(19)

• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• A transdimensional approximate Bayesian computation using the pseudo-marginal approach for model choice
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
• Model selection for time series of count data
• Consistent order selection for ARFIMA processes
• Noncausal counting processes: a queuing perspective
• Generalized RCINAR(1) process with signed thinning operator
• Generalized RCINAR(p) Process with Signed Thinning Operator
• Local asymptotic normality and efficient estimation for INAR(p) models
• Nonstationary INAR(1) process with qth-order autocorrelation innovation
• A p-order signed integer-valued autoregressive (SINAR(p)) model
• Convolution-closed models for count time series with applications
• Consistent model selection procedure for general integer-valued time series
• Variable selection in sparse GLARMA models
• Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
• MCMC for Integer-Valued ARMA processes
• Asymptotic behavior of unstable INAR(\(p\)) processes
• Exact Bayesian inference via data augmentation
• On Bayesian model selection for INGARCH models viatrans-dimensional Markov chain Monte Carlo methods

This page was built for publication: Efficient order selection algorithms for integer-valued ARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3077639)