Modeling and inference for multivariate time series of counts based on the INGARCH scheme

DOI10.1016/j.csda.2022.107579OpenAlexW4286566125MaRDI QIDQ2084059

Sangyeol Lee, Byungsoo Kim, Dongwon Kim

Publication date: 17 October 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.2022.107579

zbMATH Keywords

change point testQMLEmultivariate time series of countsMDPDEMINGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Monitoring parameter change for bivariate time series models of counts, Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence

Uses Software

• ZIM

Cites Work

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