Integer-Valued GARCH Process
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Cites work
- scientific article; zbMATH DE number 1808197 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 846906 (Why is no real title available?)
- Generalized autoregressive conditional heteroscedasticity
- Observation-driven models for Poisson counts
- Time series: theory and methods.
Cited in
(only showing first 100 items - show all)- A binomial integer-valued ARCH model
- Count network autoregression
- Mixed causal-noncausal count process
- Negative binomial autoregressive process with stochastic intensity
- On robust estimation of negative binomial INARCH models
- Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
- Modelling time series of counts with overdispersion
- Self-excited threshold Poisson autoregressive model with covariables
- Inferential aspects of the zero-inflated Poisson INAR(1) process
- A class of max-INAR(1) processes with explanatory variables
- Filtering and smoothing formulas of AR(p)-modulated Poisson processes
- Changepoints in times series of counts
- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- Modeling and inferences for bivariate signed integer-valued autoregressive models
- A goodness-of-fit test for integer-valued autoregressive processes
- Stationary count time series models
- A model for integer-valued time series with conditional overdispersion
- Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
- Infinitely divisible distributions in integer-valued GARCH models
- Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process
- A goodness-of-fit test for Poisson count processes
- Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
- Jump detection in high-frequency financial data using wavelets
- Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
- Quasi-likelihood inference for negative binomial time series models
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
- Mean targeting estimation for integer-valued time series with application to change point test
- A new GJR‐GARCH model for ℤ‐valued time series
- Penalized empirical likelihood inference for the GINAR(p) model
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Marginal likelihood estimation for the negative binomial INGARCH model
- Necessary and sufficient conditions for the identifiability of observation‐driven models
- A modified Shewhart control chart for monitoring the BerG-GARMA model
- On an integer-valued stochastic intensity model for time series of counts
- Self-excited threshold Poisson autoregression
- Stationarity of generalized autoregressive moving average models
- Test for conditional Poissonity in integer-valued conditional autoregressive models
- Threshold integer-valued autoregressive model with serially dependent innovation
- Non-Parametric Estimation for Locally Stationary Integer-Valued Processes
- Consistency of a nonparametric least squares estimator in integer-valued GARCH models
- Multivariate time series models for mixed data
- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- On Periodic Generalized Poisson INAR(1) Model
- On Periodic Generalized Poisson INAR ( p ) Models
- Generalized Poisson autoregressive models for time series of counts
- Testing the compounding structure of the CP-INARCH model
- SPC methods for time-dependent processes of counts—A literature review
- Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence
- Estimation and testing for a Poisson autoregressive model
- Epidemic change-point detection in general integer-valued time series
- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Absolute regularity and ergodicity of Poisson count processes
- Useful models for time series of counts or simply wrong ones?
- Observation-driven models for discrete-valued time series
- Forecasting transaction counts with integer-valued GARCH models
- Generalized autoregressive moving average models with GARCH errors
- Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
- Diagnosing and modeling extra-binomial variation for time-dependent counts
- Bridging the Covid-19 data and the epidemiological model using the time-varying parameter SIRD model
- Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
- The combined Poisson INMA\((q)\) models for time series of counts
- Softplus beta negative binomial integer-valued GARCH model
- A note on the stability of multivariate non-linear time series with an application to time series of counts
- Forecasting natural disaster frequencies using nonstationary count time series models
- A multiplicative thinning‐based integer‐valued GARCH model
- Locally asymptotically efficient estimation for parametric PINAR(p) models
- Bayesian time‐varying autoregressive models of COVID‐19 epidemics
- Doubly-inflated Poisson INGARCH models for count time series
- Modeling time series of counts with COM-Poisson INGARCH models
- Modeling and inferences for possibly negatively-correlated multivariate time series of counts based on INGARCH scheme
- Multivariate count autoregression
- Learning CHARME models with neural networks
- Count and duration time series with equal conditional stochastic and mean orders
- Modelling interventions in INGARCH processes
- Temporal aggregation and systematic sampling for INGARCH processes
- Dependence on a collection of Poisson random variables
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Forecasting aviation safety occurrences
- Sequential online monitoring for autoregressive time series of counts
- Integer-valued moving average models with structural changes
- Mixing properties of non-stationary multi-variate count processes
- Change detection in INARCH time series of counts
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
- Bayesian Forecasting of Many Count-Valued Time Series
- On count time series prediction
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
- Integer-valued asymmetric GARCH modeling
- Flexible bivariate Poisson integer-valued GARCH model
- A flexible model for time series of counts with overdispersion or underdispersion, zero-inflation and heavy-tailedness
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
- Some recent progress in count time series
- Multivariate threshold integer-valued autoregressive processes with explanatory variables
- Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective
- Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
- Flexible and Robust Mixed Poisson INGARCH Models
- Recent progress in parameter change test for integer-valued time series models
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
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