Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure

DOI10.1007/S00362-017-0938-0MaRDI QIDQ2175651zbMATH OpenOpenAlexFDO

Authors Dehui Wang, Xin-Yang Wang, Haixiang Zhang

Publication date 29 April 2020

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-017-0938-0

zbMATH Keywords

penalty functionoracle propertiesinteger-valued time seriesPoisson autoregressive

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to social sciences (62P25)

Recommendations

• Estimation and testing for a Poisson autoregressive model
• Poisson autoregression
• Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions
• Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
• Nonlinear Poisson autoregression

Cites work

• scientific article; zbMATH DE number 6162361 (Why is no real title available?)
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Autoregressive process modeling via the Lasso procedure
• Discrete analogues of self-decomposability and stability
• Estimation and testing for a Poisson autoregressive model
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Integer-Valued GARCH Process
• Integer-valued moving average (INMA) process
• Modeling time series of counts with a new class of INAR(1) model
• Nearly unbiased variable selection under minimax concave penalty
• Nonconcave penalized likelihood with a diverging number of parameters.
• Observation-driven models for Poisson counts
• On weak dependence conditions for Poisson autoregressions
• Penalized regression models with autoregressive error terms
• Poisson autoregression
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• The Adaptive Lasso and Its Oracle Properties
• Time series. Data analysis and theory.
• Tuning parameter selectors for the smoothly clipped absolute deviation method
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

Cited in

(11)

• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Simultaneous sparse model selection and coefficient estimation for heavy-tailed autoregressive processes
• On some properties of autoregressive conditional Poisson (ACP) models
• Minimum density power divergence estimator for Poisson autoregressive models
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables
• Regularized estimation in GINAR(\(p\)) process
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Order shrinkage and selection for the INGARCH(p,q) model
• Stabilizing properties of maximum penalized likelihood estimation for additive Poisson regression
• Penalized empirical likelihood inference for the GINAR(p) model
• On Bayesian model selection for INGARCH models viatrans-dimensional Markov chain Monte Carlo methods

This page was built for publication: Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2175651)