Some recent theory for autoregressive count time series
From MaRDI portal
Publication:1936528
DOI10.1007/s11749-012-0296-0zbMath1362.62174OpenAlexW2094606856MaRDI QIDQ1936528
Publication date: 5 February 2013
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-012-0296-0
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)
Related Items (20)
A new bivariate integer-valued GARCH model allowing for negative cross-correlation ⋮ Influence diagnostics in log-linear integer-valued GARCH models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Bayesian Analysis for Controlled Branching Processes ⋮ Bivariate binomial autoregressive models ⋮ Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions ⋮ Bivariate models for time series of counts: A comparison study between PBINAR models and dynamic factor models ⋮ An ensemble approach to short‐term forecast of COVID‐19 intensive care occupancy in Italian regions ⋮ Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator ⋮ Inference and testing for structural change in general Poisson autoregressive models ⋮ Order shrinkage and selection for the INGARCH(p,q) model ⋮ Multivariate count autoregression ⋮ Flexible bivariate Poisson integer-valued GARCH model ⋮ Poisson QMLE of Count Time Series Models ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ Comments on: Some recent theory for autoregressive count time series ⋮ First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On weak dependence conditions for Poisson autoregressions
- Log-linear Poisson autoregression
- Absolute regularity and ergodicity of Poisson count processes
- Markov chains and stochastic stability
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Note on integer-valued bilinear time series models
- The notion of \(\psi \)-weak dependence and its applications to bootstrapping time series
- Time series of count data: Modeling, estimation and diagnostics
- Some mixing properties of time series models
- Discrete analogues of self-decomposability and stability
- A new mixing notion and functional central limit theorems for a sieve bootstrap in time series
- Estimation of stochastic volatility models via Monte Carlo maximum likelihood
- GARCH processes: structure and estimation
- A new weak dependence condition and applications to moment inequalities
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- New dependence coefficients. Examples and applications to statistics
- Nonlinear time series. Nonparametric and parametric methods
- Nonlinear Poisson autoregression
- Weak dependence. With examples and applications.
- Observation-driven models for Poisson counts
- On the autopersistence functions and the autopersistence graphs of binary autoregressive time series
- Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models
- Poisson Autoregression
- Non-linear time series and Markov chains
- Markov Regression Models for Time Series: A Quasi-Likelihood Approach
- Non-strong mixing autoregressive processes
- Integer-Valued GARCH Process
- ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS
- A new look at time series of counts
- A regression model for time series of counts
- Partial Likelihood Inference For Time Series Following Generalized Linear Models
- Time Series Models Based on Generalized Linear Models: Some Further Results
- Modelling Nonlinear Economic Time Series
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Interventions in INGARCH processes
- Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
- Predictive Model Assessment for Count Data
- Comments on: Some recent theory for autoregressive count time series
This page was built for publication: Some recent theory for autoregressive count time series
