Nonlinear Poisson autoregression

DOI10.1007/S10463-012-0351-3zbMATH Open1253.62058OpenAlexW1987019192MaRDI QIDQ1925990FDOQ1925990

Konstantinos Fokianos, Dag Tjøstheim

Publication date: 27 December 2012

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-012-0351-3

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zbMATH Keywords

maximum likelihood estimationlink functionperturbationgeometric ergodicitysmooth transition models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Log-linear Poisson autoregression
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Cited In (42)

• Piecewise autoregression for general integer-valued time series
• Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
• A goodness-of-fit test for Poisson count processes
• Consistency of a nonparametric least squares estimator in integer-valued GARCH models
• On binary and categorical time series models with feedback
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Learning CHARME models with neural networks
• Self-exciting jump processes with applications to energy markets
• A dynamic count process
• Recent progress in parameter change test for integer-valued time series models
• Poisson QMLE of count time series models
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Mixtures of Nonlinear Poisson Autoregressions
• Phase II monitoring of autocorrelated attributed social networks based on generalized estimating equations
• A generalized mixture integer-valued GARCH model
• Modelling nonlinear count time series with local mixtures of Poisson autoregressions
• Bootstrap for integer‐valued GARCH(p, q) processes
• Rejoinder on: Some recent theory for autoregressive count time series
• Dynamic binomials with an application to gender bias analysis
• Variable selection in sparse GLARMA models
• Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
• Count Time Series: A Methodological Review
• The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process
• Comments on: Some recent theory for autoregressive count time series
• Self-Excited Threshold Poisson Autoregression
• Testing Linearity for Network Autoregressive Models
• Nonlinear Poisson autoregression and nonlinear Hawkes processes
• Inference and testing for structural change in general Poisson autoregressive models
• Thinning-based models in the analysis of integer-valued time series: a review
• On weak dependence conditions for Poisson autoregressions
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Tests for time series of counts based on the probability-generating function
• Bivariate binomial autoregressive models
• Long-memory log-linear zero-inflated generalized Poisson autoregression for COVID-19 pandemic modeling
• Some recent theory for autoregressive count time series
• Hawkes and INAR(\(\infty\)) processes
• Parameter Change Test for Poisson Autoregressive Models
• Title not available (Why is that?)
• Inference for nonstationary time series of counts with application to change-point problems
• Correction to ``On weak dependence conditions for Poisson autoregressions
• Grouped network Poisson autoregressive model

Uses Software

• Fahrmeir

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