Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure

DOI10.1007/s00362-017-0938-0zbMath1437.62341OpenAlexW2739583473MaRDI QIDQ2175651

De-Hui Wang, Hai-xiang Zhang, Xin-Yang Wang

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) Applications of statistics to social sciences (62P25) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ Penalized empirical likelihood inference for the GINAR(p) model ⋮ Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables ⋮ Order shrinkage and selection for the INGARCH(p,q) model ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach

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