A GQL-based inference in non-stationary BINMA(1) time series

DOI10.1007/S11749-018-0615-1MaRDI QIDQ2273188zbMATH OpenOpenAlexWikidataFDO

Authors Miroslav M. Ristić, Yuvraj Sunecher, Naushad Mamode Khan, Vandna Jowaheer

Publication date 18 September 2019

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-018-0615-1

zbMATH Keywords

BINMA(1)GQLnegative binomialover-dispersionstock transaction

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A bivariate INAR(1) time series model with geometric marginals
• Akaike's information criterion in generalized estimating equations
• Analysing longitudinal count data with overdispersion
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Bivariate Time Series Modeling of Financial Count Data
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Discrete analogues of self-decomposability and stability
• Estimating Equations for Parameters in Means and Covariances of Multivariate Discrete and Continuous Responses
• Estimating the parameters of a BINMA Poisson model for a non-stationary bivariate time series
• Estimation in a bivariate integer-valued autoregressive process
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• First-order random coefficient integer-valued autoregressive processes
• scientific article; zbMATH DE number 3458075 (Why is no real title available?)
• Inferential methods for an unconstrained nonstationary BINMA time series process with Poisson innovations
• Integer-valued moving average (INMA) process
• REGRESSION IN THE BIVARIATE POISSON DISTRIBUTION

Cited in

(10)

• Analyzing the full BINMA time series process using a robust GQL approach
• Modelling with dispersed bivariate moving average processes
• On the theory of periodic multivariate INAR processes
• BINAR(1) negative binomial model for bivariate non-stationary time series with different over-dispersion indices
• Investigating GQL-based inferential approaches for non-stationary BINAR(1) model under different quantum of over-dispersion with application
• Bivariate Time Series Modeling of Financial Count Data
• GQL Versus Conditional GQL Inferences for Non-Stationary Time Series of Counts with Overdispersion
• Estimating the parameters of a BINMA Poisson model for a non-stationary bivariate time series
• A review of INMA integer-valued model class, application and further development
• A non‐stationary bivariate INAR(1) process with a simple cross‐dependence: Estimation with some properties

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