Regularized estimation in GINAR(p) process

DOI10.1016/J.JKSS.2017.03.001zbMATH Open1377.62184OpenAlexW2607044805MaRDI QIDQ1674041FDOQ1674041

Authors: Haixiang Zhang, Dehui Wang, Liuquan Sun 

Publication date: 1 November 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2017.03.001

Recommendations

• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
• The Multivariate Ginar(p) Process

zbMATH Keywords

oracle propertypenalty functionregularized estimationinteger-valued time seriesthinning operatorepileptic patient

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Cites Work

• Nearly unbiased variable selection under minimax concave penalty
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• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Bivariate binomial autoregressive models
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• Efficient Probabilistic Forecasts for Counts
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• Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation
• Zero-modified geometric INAR(1) process for modelling count time series with deflation or inflation of zeros

Cited In (9)

• Penalized empirical likelihood inference for the GINAR(p) model
• Bayesian empirical likelihood inference and order shrinkage for autoregressive models
• Some estimation and forecasting procedures in Poisson-Lindley INAR(1) process
• Local asymptotic normality and efficient estimation for multivariate \(\mathrm{GINAR}(p)\) models
• Order shrinkage and selection for the INGARCH(p,q) model
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
• Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables
• Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts

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