Influence diagnostics in log-linear integer-valued GARCH models
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Cites work
- scientific article; zbMATH DE number 4147359 (Why is no real title available?)
- scientific article; zbMATH DE number 3984329 (Why is no real title available?)
- scientific article; zbMATH DE number 472984 (Why is no real title available?)
- scientific article; zbMATH DE number 720681 (Why is no real title available?)
- A mixture integer-valued ARCH model
- A negative binomial integer-valued GARCH model
- Assessment of Local Influence in GARCH Processes
- Conformal Normal Curvature and Assessment of Local Influence
- Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
- Estimation and testing for a Poisson autoregressive model
- Influence diagnostics for multivariate GARCH processes
- Influential observations in GARCH models
- Integer-Valued GARCH Process
- Interventions in log-linear Poisson autoregression
- Local influence for incomplete-data models
- Local influence in principal components analysis
- Local influence: a new approach
- Log-linear Poisson autoregression
- Masking unmasked
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- Modeling time series of counts with COM-Poisson INGARCH models
- On composite likelihood estimation of a multivariate INAR(1) model
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- Outlier Detection in Time Series Models Using Local Influence Method
- Poisson autoregression
- Robust fitting of INARCH models
- Some recent theory for autoregressive count time series
- Stepwise local influence analysis
- Time series analysis: Methods and applications
- Zero-inflated Poisson and negative binomial integer-valued GARCH models
Cited in
(16)- Doubly-inflated Poisson INGARCH models for count time series
- Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application
- Influence of deterministic trend on the estimated parameters of GARCH(1,1) model
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Self-excited hysteretic negative binomial autoregression
- A generalized mixture integer-valued GARCH model
- Softplus INGARCH Model
- Periodic negative binomial INGARCH(1, 1) model
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- Local influence analysis for Poisson autoregression with an application to stock transaction data
- Local influence diagnostics for the test of mean-variance efficiency and systematic risks in the capital asset pricing model
- Comparison of BINAR(1) models with bivariate negative binomial innovations and explanatory variables
- Bayesian local influence for spatial autoregressive models with heteroscedasticity
- Binomial AR(1) processes with innovational outliers
- Local influence analysis in general spatial models
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