Statistical analysis of discrete-valued time series using categorical ARMA models

DOI10.1016/J.CSDA.2012.06.003MaRDI QIDQ2359464zbMATH OpenOpenAlexFDO

Authors Peter X.-K. Song, R. Keith Freeland, Atanu Biswas, Shulin Zhang

Publication date 29 June 2017

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2012.06.003

zbMATH Keywords

AICBICcorrected AICmaximum likelihood estimationorder selectionPegram's mixing operatorrandomized conditional moment test

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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Cited in

(7)

• Some properties of multivariate INAR(1) processes
• Serial dependence of NDARMA processes
• Cost-sensitive estimation of ARMA models for financial asset return data
• Time series analysis of categorical data using auto-mutual information
• Modelling and coherent forecasting of zero-inflated count time series
• Generalized Ordinary Differential Equation Models
• A modified Pegram’s operator based autoregressive (mPAR) process for modeling truncated counts

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