Integer-valued self-exciting periodic threshold autogressive processes

MaRDI QIDQ2990089zbMATH OpenFDO

Authors Isabel Pereira, Raquel Nicolette, Manuel G. Scotto

Publication date 29 July 2016

zbMATH Keywords

binomial thinningcount processesthreshold models

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Integer-valued autoregressive processes with periodic structure
• Threshold models for integer-valued time series with infinite or finite range
• Integer-valued self-exciting threshold autoregressive processes
• Statistical inference for self-exciting threshold INAR processes with missing values
• On a periodic SETINAR model

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