A negative binomial mixture integer-valued GARCH model

MaRDI QIDQ1636737zbMATH OpenFDO

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

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)

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(11)

• Asymmetric beta-binomial GARCH models for time series with bounded support
• 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
• A generalized mixture integer-valued GARCH model
• On an independent-switching periodic autoregressive conditional duration
• 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

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