Integer-Valued GARCH Process
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Cites work
- Generalized autoregressive conditional heteroscedasticity
- 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?)
- Observation-driven models for Poisson counts
- Time series: theory and methods.
Cited in
(only showing first 100 items - show all)- Modeling, simulation and inference for multivariate time series of counts using trawl processes
- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Influence diagnostics in log-linear integer-valued GARCH models
- Minimum density power divergence estimator for Poisson autoregressive models
- Useful models for time series of counts or simply wrong ones?
- Interventions in GARCE branching processes with application to Ebola virus data
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Generalized Poisson autoregressive models for time series of counts
- Goodness-of-fit testing of a count time series' marginal distribution
- Testing for Poisson arrivals in INAR(1) processes
- On periodic ergodicity of a general periodic mixed Poisson autoregression
- On eigenvalues of the transition matrix of some count-data Markov chains
- Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
- Integer-valued moving average models with structural changes
- Rejoinder on: Subsampling weakly dependent time series and application to extremes
- Near-integrated GARCH sequences
- A model for integer-valued time series with conditional overdispersion
- Modeling time series of counts with COM-Poisson INGARCH models
- Degenerate U- and V-statistics under ergodicity: asymptotics, bootstrap and applications in statistics
- Some recent theory for autoregressive count time series
- A goodness-of-fit test for Poisson count processes
- Stationarity of generalized autoregressive moving average models
- Inferential aspects of the zero-inflated Poisson INAR(1) process
- A Skellam GARCH model
- Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
- Robust estimation for general integer-valued time series models
- Flexible bivariate Poisson integer-valued GARCH model
- Two classes of dynamic binomial integer-valued ARCH models
- Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts
- Time-varying auto-regressive models for count time-series
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- Statistical analysis of multivariate discrete-valued time series
- Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
- A new mixed first-order integer-valued autoregressive process with Poisson innovations
- Mixing properties of non-stationary INGARCH(1, 1) processes
- Modeling and inference for multivariate time series of counts based on the INGARCH scheme
- Inference for nonstationary time series of counts with application to change-point problems
- Multivariate time series models for mixed data
- Temporal aggregation and systematic sampling for INGARCH processes
- Dependence on a collection of Poisson random variables
- A robust approach for testing parameter change in Poisson autoregressive models
- Recent progress in parameter change test for integer-valued time series models
- Observation-driven models for discrete-valued time series
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
- A perturbation analysis of Markov chains models with time-varying parameters
- Testing the dispersion structure of count time series using Pearson residuals
- Self-excited hysteretic negative binomial autoregression
- A generalized mixture integer-valued GARCH model
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- A note on the stability of multivariate non-linear time series with an application to time series of counts
- Multivariate count autoregression
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
- Deviation inequalities for separately Lipschitz functionals of composition of random functions
- Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes
- CUSUM test for general nonlinear integer-valued GARCH models: comparison study
- The combined Poisson INMA\((q)\) models for time series of counts
- Bayesian spatio-temporal random coefficient time series (BaST-RCTS) model of infectious disease
- Random rounded integer-valued autoregressive conditional heteroskedastic process
- Testing the compounding structure of the CP-INARCH model
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
- Empirical likelihood for linear and log-linear INGARCH models
- Modelling time series of counts with overdispersion
- Bivariate binomial autoregressive models
- Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
- Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
- Poisson QMLE of count time series models
- Modelling interventions in INGARCH processes
- SPC methods for time-dependent processes of counts—A literature review
- Bootstrapping sample quantiles of discrete data
- Precise large deviations of aggregate claims in a discrete-time risk model with Poisson ARCH claim-number process
- Parameter Change Test for Poisson Autoregressive Models
- Quasi-likelihood inference for negative binomial time series models
- BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
- Periodic integer-valued GARCH(1,1) model
- Periodic integer-valued bilinear time series model
- First-order rounded integer-valued autoregressive (RINAR(l)) process
- On conditional maximum likelihood estimation for INGARCH(p,q) models
- Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
- Modeling the coupled return-spread high frequency dynamics of large tick assets
- Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
- A goodness-of-fit test for integer-valued autoregressive processes
- The INARCH(1) model for overdispersed time series of counts
- Nonstationary INAR(1) process with qth-order autocorrelation innovation
- On weak dependence conditions for Poisson autoregressions
- GENERALIZED INTEGER-VALUED AUTOREGRESSION
- Inference and testing for structural change in general Poisson autoregressive models
- Robust parameter change test for Poisson autoregressive models
- A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model
- Interventions in log-linear Poisson autoregression
- Thinning-based models in the analysis of integer-valued time series: a review
- Conditional heteroscedasticity test for Poisson autoregressive model
- Self-excited threshold Poisson autoregression
- A negative binomial integer-valued GARCH model
- Count and duration time series with equal conditional stochastic and mean orders
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