Poisson QMLE of count time series models
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Recommendations
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- Truncated Poisson Regression for Time Series of Counts
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Cites work
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- Double Exponential Families and Their Use in Generalized Linear Regression
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- Infinitely divisible distributions in integer-valued GARCH models
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- Log-linear Poisson autoregression
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- Maximum Likelihood Estimation of Misspecified Models
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- Modeling time series of counts with COM-Poisson INGARCH models
- Nonlinear Poisson autoregression
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- Quasi-likelihood functions
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Cited in
(96)- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- On periodic ergodicity of a general periodic mixed Poisson autoregression
- Limit theorems for regression models of time series of counts
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- Time-varying auto-regressive models for count time-series
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- 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
- Poisson QMLE for change-point detection in general integer-valued time series models
- Temporal aggregation and systematic sampling for INGARCH processes
- Recent progress in parameter change test for integer-valued time series models
- Observation-driven models for discrete-valued time series
- Self-excited hysteretic negative binomial autoregression
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- Multivariate count autoregression
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Independence, successive and conditional likelihood for time series of counts
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- Asymptotic properties of CLS estimators in the Poisson AR(1) model
- Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
- Observation-driven models for Poisson counts
- Quasi-likelihood inference for negative binomial time series models
- Parameter estimation for a threshold Poisson log-linear autoregressive model
- Poisson autoregression
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- On weak dependence conditions for Poisson autoregressions
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- POISSON REGRESSION WITH A PERIODIC FUNCTION
- Zero-truncated compound Poisson integer-valued GARCH models for time series
- ON THE THEORETICAL SPECIFICATION OF POISSON-AUTOREGRESSIVE MODEL FOR ANALYZING TIME SERIES COUNT DATA
- Negative binomial quasi-likelihood inference for general integer-valued time series models
- Threshold negative binomial autoregressive model
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- Truncated Poisson Regression for Time Series of Counts
- Time series count data regression
- Estimation and testing linearity for non-linear mixed Poisson autoregressions
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- Mixtures of nonlinear Poisson autoregressions
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- Softplus INGARCH Model
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- Testing GARCH-X type models
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- A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
- Forecasting transaction counts with integer-valued GARCH models
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- Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
- Monitoring parameter change for bivariate time series models of counts
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- A general procedure for change-point detection in multivariate time series
- Exponential family QMLE-based CUSUM test for integer-valued time series
- Softplus beta negative binomial integer-valued GARCH model
- Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
- A multiplicative thinning‐based integer‐valued GARCH model
- Periodic negative binomial INGARCH(1, 1) model
- Log-linear Poisson autoregression
- Marginal likelihood estimation for the negative binomial INGARCH model
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- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- Epidemic change-point detection in general integer-valued time series
- Grouped network Poisson autoregressive model
- Stationary count time series models
- Quasi-likelihood estimation in volatility models for semi-continuous time series
- Count network autoregression
- Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models
- The Markov approximation of the periodic multivariate Poisson autoregression
- Quantile regression estimation for Poisson autoregressive models
- An observation-driven state-space count model for experience rating
- Density power divergence estimator for general integer-valued time series with exogenous covariates
- Tests for counting sequences of integer-valued autoregressive models
- On an integer-valued stochastic intensity model for time series of counts
- Test for conditional Poissonity in integer-valued conditional autoregressive models
- Change-points analysis for generalized integer-valued autoregressive model via minimum description length principle
- Specifications tests for count time series models with covariates
- Tests for changes in count time series models with exogenous covariates
- Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs
- Inference for multivariate time series of counts via multiplicative INGARCH modeling
- Tests for a structural break for nonnegative integer-valued time series
- On maximum likelihood estimation for count data models
- Maximum likelihood estimation for an observation driven model for Poisson counts
- Estimation in conditional first order autoregression with discrete support
- Piecewise autoregression for general integer-valued time series
- Testing Linearity for Network Autoregressive Models
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