Estimation in integer-valued moving average models

DOI10.1002/ASMB.445MaRDI QIDQ2759391zbMATH OpenOpenAlexWikidataFDO

Authors Kurt Brännäs, Andreia Hall

Publication date 12 December 2001

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.445

zbMATH Keywords

Monte-Carlo simulationsprobability generating functionsconditional least-squares estimatormodel characterization

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Economic time series analysis (91B84)

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Cites work

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• scientific article; zbMATH DE number 3395168 (Why is no real title available?)
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• Binomial autoregressive moving average models
• Discrete analogues of self-decomposability and stability
• Empirical probability generating function. An overview
• Estimating Mixtures of Normal Distributions and Switching Regressions
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-Order Integer-Valued Autoregressive (INAR (1)) Process: Distributional and Regression Properties
• Integer-valued moving average (INMA) process
• Large Sample Properties of Generalized Method of Moments Estimators
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Some ARMA models for dependent sequences of poisson counts
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL

Cited in

(38)

• Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
• Stationary count time series models
• Modelling overdispersion with integer-valued moving average processes
• First-order spatial dependent count integer-valued autoregressive (Sp-DCINAR(1,1)) process
• \(\Delta \)-entropy: definition, properties and applications in system identification with quantized data
• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
• On the maximum of periodic integer-valued sequences with exponential type tails via max-semistable laws
• Serial dependence and regression of Poisson INARMA models
• A long-memory integer-valued time series model, INARFIMA, for financial application
• The combined Poisson INMA\((q)\) models for time series of counts
• Optimal Alarm Systems for Count Processes
• scientific article; zbMATH DE number 223230 (Why is no real title available?)
• A bivariate INAR(1) model with different thinning parameters
• Efficient method of moments estimators for integer time series models
• Cluster point processes and Poisson thinning INARMA
• Integer-valued moving average models with structural changes
• Parameter estimation and diagnostic tests for INMA(1) processes
• Thinning operations for modeling time series of counts -- a survey
• Estimation in conditional first order autoregression with discrete support
• A review of INMA integer-valued model class, application and further development
• Inference for bivariate integer-valued moving average models based on binomial thinning operation
• On the rounded integer-valued autoregressive process
• Testing for serial dependence in time series models of counts
• Space-time Integer-valued ARMA modelling for time series of counts
• A flexible univariate moving average time-series model for dispersed count data
• Binomial thinning models for integer time series
• Extremes of integer-valued moving average models with exponential type tails
• On some periodic INARMA(p,q) models
• Efficient estimation in periodic INAR(1) model: parametric case
• Extremes of integer-valued moving average sequences
• A bivariate integer-valued long-memory model for high-frequency financial count data
• Thinning-based models in the analysis of integer-valued time series: a review
• Efficient estimation in (PINAR(1)) model: semiparametric case
• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
• Bivariate Time Series Modeling of Financial Count Data
• Integer-valued moving average (INMA) process
• A threshold mixed count time series model: estimation and application
• The combined Poisson INMA(2) models for integer-valued time series

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