Temporal aggregation and systematic sampling for INGARCH processes

DOI10.1016/J.JSPI.2021.12.002MaRDI QIDQ2123259zbMATH OpenOpenAlexFDO

Authors Bing Su, Fukang Zhu

Publication date 8 April 2022

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2021.12.002

zbMATH Keywords

INGARCH processPoisson autoregressive processsystematic samplingtemporal aggregationtime series of countsweak INGARCH process

Mathematics Subject Classification ID

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

Recommendations

• Aggregation and systematic sampling of periodic ARMA processes
• Interventions in INGARCH processes
• Temporal aggregation of seasonally near-integrated processes
• Modelling interventions in INGARCH processes
• TEMPORAL AGGREGATION IN THE ARIMA PROCESS

Cites work

• A bootstrapped spectral test for adequacy in weak ARMA models
• A negative binomial integer-valued GARCH model
• An Introduction to Discrete‐Valued Time Series
• Computing and estimating information matrices of weak ARMA models
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Estimating linear representations of nonlinear processes
• Estimating weak GARCH representations
• Flexible bivariate Poisson integer-valued GARCH model
• Forecasting aggregated vector ARMA processes
• Integer-Valued GARCH Process
• Log-linear Poisson autoregression
• Poisson autoregression
• Poisson QMLE of count time series models
• Self-excited threshold Poisson autoregression
• Temporal Aggregation of Garch Processes
• Temporal aggregation of multivariate GARCH processes
• The continuous limit of weak GARCH
• The Effect of Aggregation on Prediction in the Autoregressive Model
• The impact of temporal aggregation on supply chains with ARMA\((1,1)\) demand processes
• Theory and inference for a class of nonlinear models with application to time series of counts
• Time series: theory and methods.

Cited in

(5)

• Aggregation and systematic sampling of periodic ARMA processes
• The use of aggregate time series for testing conditional heteroscedasticity
• Tail risk monotonicity in GARCH(1,1) models
• A moment-based test for conditional poissonity in integer-valued conditional autoregressive models
• The effects of aggregation and sampling on periodic INGARCH processes

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