A negative binomial mixture integer-valued GARCH model

MaRDI QIDQ1636737FDOQ1636737

Authors: Mamadou Lamine Diop, Aliou Diop, Abdou Kâ Diongue 

Publication date: 12 June 2018

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1528336825

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zbMATH Keywords

overdispersiontime series of countsmixture modelnegative binomial

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (11)

• A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
• Stationarity and ergodicity of Markov switching positive conditional mean models
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Softplus beta negative binomial integer-valued GARCH model
• On an independent-switching periodic autoregressive conditional duration
• A generalized mixture integer-valued GARCH model
• Corrigendum to Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Ergodicity conditions for a double mixed Poisson autoregression
• A mixture integer-valued ARCH model
• Asymmetric beta-binomial GARCH models for time series with bounded support

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