First-order observation-driven integer-valued autoregressive processes

DOI10.1016/J.SPL.2007.04.017MaRDI QIDQ2475413zbMATH OpenOpenAlexFDO

Authors Haitao Zheng, I. V. Basawa

Publication date 11 March 2008

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2007.04.017

zbMATH Keywords

conditional least squaresINAR modelsmaximum likelihoodmodels of count dataobservation-driven modelpolio counts datarandom coefficient modelsthinning models

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Discrete analogues of self-decomposability and stability
• Estimation for a class of generalized state-space time series models.
• First-Order Integer-Valued Autoregressive (INAR (1)) Process: Distributional and Regression Properties
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
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• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• scientific article; zbMATH DE number 2206035 (Why is no real title available?)
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Markov chains and stochastic stability
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• On conditional least squares estimation for stochastic processes
• Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
• The Lindeberg-Levy Theorem for Martingales

Cited in

(38)

• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning
• Diagnostic checks for integer-valued autoregressive models using expected residuals
• On random coefficient INAR(1) processes
• Noise-indicator nonnegative integer-valued autoregressive time series of the first order
• Two classes of dynamic binomial integer-valued ARCH models
• First-order random coefficient mixed-thinning integer-valued autoregressive model
• Observation-driven models for discrete-valued time series
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
• A parametric study for the first-order signed integer-valued autoregressive process
• A note on an integer valued time series model with Poisson-negative binomial marginal distribution
• First order threshold integer-valued moving average processes
• Generalized RCINAR(1) process with signed thinning operator
• Generalized RCINAR(p) Process with Signed Thinning Operator
• Empirical likelihood inference for INAR(1) model with explanatory variables
• First order non-negative integer valued autoregressive processes with power series innovations
• Maximum likelihood estimation of the DDRCINAR(p) model
• A class of max-INAR(1) processes with explanatory variables
• On first-order integer-valued autoregressive process with Katz family innovations
• Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals
• Estimation of parameters in the MDDRCINAR(p) model
• A new bivariate autoregressive model driven by logistic regression
• A new minification integer‐valued autoregressive process driven by explanatory variables
• Empirical likelihood for a first-order generalized random coefficient integer-valued autoregressive process
• A new autoregressive process driven by explanatory variables and past observations: an application to PM 2.5
• A new RCAR(1) model based on explanatory variables and observations
• Absolute regularity and ergodicity of Poisson count processes
• A novel time-varying coefficient Poisson difference model driven by observation
• Maximum likelihood estimation of the SDMINAR( p ) model to analyze some COVID-19 data
• Maximum-likelihood estimation of the Po-MDDRCINAR( p ) model with analysis of a COVID-19 data
• A new integer-valued threshold autoregressive process based on modified negative binomial operator driven by explanatory variables
• A mixed INAR( p ) model with serially dependent innovation with application to some COVID-19 data
• An extension of ℤ-valued time series with Poisson difference innovation via logistic regression
• Scaling limits for INAR(∞) processes
• Covariate-driven doubly stochastic bivariate integer-valued autoregressive processes

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