Modeling time series when some observations are zero
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Cites work
- Censored time series analysis with autoregressive moving average models
- Dynamic models for volatility and heavy tails. With applications to financial and economic time series
- scientific article; zbMATH DE number 4011695 (Why is no real title available?)
- scientific article; zbMATH DE number 3209360 (Why is no real title available?)
- Partially Adaptive Estimation of the Censored Regression Model
- Regression Analsis with Censored Autocorrelated Data
- Statistical Size Distributions in Economics and Actuarial Sciences
- Volatility modeling with a generalized t distribution
Cited in
(5)- Clustering of arrivals in queueing systems: autoregressive conditional duration approach
- Volatility Estimation When the Zero-Process is Nonstationary
- A nonparametric threshold model with application to zero returns
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros
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