Modeling time series when some observations are zero

DOI10.1016/J.JECONOM.2019.05.003MaRDI QIDQ2280595zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 19 December 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.05.003

zbMATH Keywords

seasonalityrainfallgeneralized beta distributioncensored distributionsdynamic conditional score modelzero augmented model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Recommendations

• Zero-modified count time series with Markovian intensities
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Modeling zero inflation in count data time series with bounded support
• Zero-inflated count time series models using Gaussian copula
• First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations

Cites work

• scientific article; zbMATH DE number 4011695 (Why is no real title available?)
• scientific article; zbMATH DE number 3209360 (Why is no real title available?)
• Censored time series analysis with autoregressive moving average models
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Partially Adaptive Estimation of the Censored Regression Model
• Regression Analsis with Censored Autocorrelated Data
• Statistical Size Distributions in Economics and Actuarial Sciences
• Volatility modeling with a generalized \(t\) distribution

Cited in

(4)

• Clustering of arrivals in queueing systems: autoregressive conditional duration approach
• Quasi-likelihood estimation in volatility models for semi-continuous time series
• A nonparametric threshold model with application to zero returns
• Volatility Estimation When the Zero-Process is Nonstationary

This page was built for publication: Modeling time series when some observations are zero

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2280595)