Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure

DOI10.1007/S00362-017-0938-0MaRDI QIDQ2175651zbMATHOpenAlexFDO

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)

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Cites work

• scientific article; zbMATH DE number 6162361 (Why is no real title available?)
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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

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