MCMC for Integer-Valued ARMA processes

DOI10.1111/J.1467-9892.2006.00500.XMaRDI QIDQ5430493zbMATH OpenOpenAlexFDO

Authors Peter Neal, T. Subba Rao

Publication date 16 December 2007

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

Full work available at URL https://eprints.lancs.ac.uk/id/eprint/76921/1/inarma_rev2.pdf

zbMATH Keywords

Bayes estimationINARMAlikelihoodMarkov chain Monte Carlo

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cites work

• A hierarchical approach to covariance function estimation for time series
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• On autocorrelation in a Poisson regression model
• The Multivariate Ginar(p) Process

Cited in

(26)

• Efficient model comparison techniques for models requiring large scale data augmentation
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
• Model selection for time series of count data
• Estimation of a digitised Gaussian ARMA model by Monte Carlo expectation maximisation
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• On MCMC sampling in self-exciting integer-valued threshold time series models
• Efficient order selection algorithms for integer-valued ARMA processes
• Treating missing values in INAR(1) models: An application to syndromic surveillance data
• Bayesian analysis of the p-order integer-valued AR process with zero-inflated Poisson innovations
• Variable selection in sparse GLARMA models
• Integer autoregressive models with structural breaks
• Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
• Optimal Alarm Systems for Count Processes
• Piecewise approximate Bayesian computation: fast inference for discretely observed Markov models using a factorised posterior distribution
• Exact Bayesian inference via data augmentation
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts
• A maximum likelihood and regenerative bootstrap approach for estimation and forecasting of INAR( p ) processes with zero-inflated innovations
• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
• Constrained estimation for the binomial AR(1) model: on Bayesian approach
• Mixed causal-noncausal count process
• Change point detection in INAR( p ) models via likelihood ratio scanning method
• Mean-preserving rounding integer-valued ARMA models
• Bayesian analysis of linear regression models with autoregressive symmetrical errors and incomplete data
• Tobit INARMA models for count time series with negative autocorrelation
• An MCMC algorithm for bounded count time series hysteretic models with an application to disease infection

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