Smoothing non-Gaussian time series with autoregressive structure.

DOI10.1016/S0167-9473(98)00034-6zbMath1042.62601WikidataQ58297550 ScholiaQ58297550MaRDI QIDQ1275101

Rob Hyndman, Gary K. Grunwald

Publication date: 12 January 1999

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

AICPoisson time seriesBinary time seriesExponential family time seriesPenalized likelihoodSmoothing with correlated errors

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric inference (62G99)

Related Items

Empirical information criteria for time series forecasting model selection

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time series: theory and methods.
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Non-negative time series models for dry river flow
• ON SPLINE SMOOTHING WITH AUTOCORRELATED ERRORS
• Dynamic Generalized Linear Models and Bayesian Forecasting
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• Some ARMA models for dependent sequences of poisson counts
• First-order autoregressive gamma sequences and point processes
• A time series approach to the study of the simple subcritical Galton–Watson process with immigration
• Nonparametric spline regression with autoregressive moving average errors
• Choice of bandwidth for kernel regression when residuals are correlated
• Explicit stationary distributions for some galton-watson processes with immigration
• NONPARAMETRIC AUTOCOVARIANCE FUNCTION ESTIMATION
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Model Checking via Parametric Bootstraps in Time Series Analysis
• ON CROSS‐VALIDATION FOR SMOOTHING SPLINES IN THE CASE OF DEPENDENT OBSERVATIONS
• A stochastic process whose successive intervals between events form a first order Markov chain — I
• Estimation theory for growth and immigration rates in a multiplicative process
• Testing model adequacy for some Markov regression models for time series