On MCMC sampling in self-exciting integer-valued threshold time series models

DOI10.1016/J.CSDA.2021.107410OpenAlexW4200144792MaRDI QIDQ2076110FDOQ2076110

Authors: Kai Yang, Xinyang Yu, Qingqing Zhang, Xiaogang Dong 

Publication date: 18 February 2022

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2021.107410

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zbMATH Keywords

Bayesian inferencelatent variablesMCMC samplingthreshold autoregressive modelinteger-valued time series

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Inference from iterative simulation using multiple sequences
• Bayesian Measures of Model Complexity and Fit
• Discrete analogues of self-decomposability and stability
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Title not available (Why is that?)
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Title not available (Why is that?)
• Self-excited threshold Poisson autoregression
• Markov chains and stochastic stability
• The Deviance Information Criterion: 12 Years on
• True integer value time series
• Introduction to Bayesian Statistics
• Bayesian estimation of the Gaussian mixture GARCH model
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Poisson-Lindley INAR(1) model with applications
• Integer-valued self-exciting threshold autoregressive processes
• Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods
• MCMC for Integer-Valued ARMA processes
• Generalized Poisson autoregressive models for time series of counts
• Thinning-based models in the analysis of integer-valued time series: a review
• First-order random coefficients integer-valued threshold autoregressive processes
• Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation
• Integer autoregressive models with structural breaks
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Self-exciting threshold binomial autoregressive processes
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Bayesian nonparametric forecasting for INAR models
• Retrospective Bayesian outlier detection in INGARCH series
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data
• Deviance information criterion for latent variable models and misspecified models
• Count Time Series: A Methodological Review

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

Uses Software

• Bolstad

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