Modeling time series when some observations are zero

DOI10.1016/J.JECONOM.2019.05.003zbMATH Open1456.62191OpenAlexW2961568821MaRDI QIDQ2280595FDOQ2280595

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

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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)

Cites Work

• Statistical Size Distributions in Economics and Actuarial Sciences
• Title not available (Why is that?)
• Dynamic models for volatility and heavy tails. With applications to financial and economic time series
• Censored time series analysis with autoregressive moving average models
• Title not available (Why is that?)
• Regression Analsis with Censored Autocorrelated Data
• Volatility modeling with a generalized \(t\) distribution
• Partially Adaptive Estimation of the Censored Regression Model

Cited In (4)

• Volatility Estimation When the Zero-Process is Nonstationary
• 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

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