On MCMC sampling in self-exciting integer-valued threshold time series models
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Publication:2076110
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Cites work
- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- scientific article; zbMATH DE number 3395169 (Why is no real title available?)
- An integer-valued pth-order autoregressive structure (INAR(p)) process
- An integer-valued threshold autoregressive process based on negative binomial thinning
- Bayesian Measures of Model Complexity and Fit
- Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
- Bayesian estimation of the Gaussian mixture GARCH model
- Bayesian nonparametric forecasting for INAR models
- Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
- Count Time Series: A Methodological Review
- Deviance information criterion for latent variable models and misspecified models
- Discrete analogues of self-decomposability and stability
- Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
- Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
- FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
- First-order random coefficients integer-valued threshold autoregressive processes
- GENERALIZED INTEGER-VALUED AUTOREGRESSION
- Generalized Poisson autoregressive models for time series of counts
- Inference from iterative simulation using multiple sequences
- Integer autoregressive models with structural breaks
- Integer-valued self-exciting threshold autoregressive processes
- Introduction to Bayesian Statistics
- Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation
- MCMC for Integer-Valued ARMA processes
- Markov chains and stochastic stability
- Poisson-Lindley INAR(1) model with applications
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
- Retrospective Bayesian outlier detection in INGARCH series
- Self-excited threshold Poisson autoregression
- Self-exciting threshold binomial autoregressive processes
- THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
- The Deviance Information Criterion: 12 Years on
- Thinning-based models in the analysis of integer-valued time series: a review
- Threshold autoregression analysis for finite-range time series of counts with an application on measles data
- True integer value time series
Cited in
(10)- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- A novel multivariable grey prediction model with different accumulation orders and performance comparison
- Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis
- A statistical study for some classes of first-order mixed generalized binomial autoregressive models
- First-order binomial autoregressive processes with Markov-switching coefficients
- A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
- A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
- On bivariate threshold Poisson integer-valued autoregressive processes
- Bayesian inference for a mixture double autoregressive model
- Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
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