Modelling time series of counts with overdispersion

DOI10.1007/S10260-008-0108-6zbMATH Open1332.62348OpenAlexW2133454617MaRDI QIDQ257536FDOQ257536

Christian H. Weiß

Publication date: 17 March 2016

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-008-0108-6

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zbMATH Keywords

overdispersiontime series of countsACP modelautocorrelation structureINGARCH model

Mathematics Subject Classification ID

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

Cites Work

• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Title not available (Why is that?)
• Integer-Valued GARCH Process
• Time series of count data: Modeling, estimation and diagnostics
• Serial dependence and regression of Poisson INARMA models

Cited In (50)

• Filtering and smoothing formulas of AR(p)-modulated Poisson processes
• Stationary count time series models
• A model for integer-valued time series with conditional overdispersion
• Modelling overdispersion with integer-valued moving average processes
• Testing the compounding structure of the CP-INARCH model
• Detection of Changes in INAR Models
• Generalized Poisson autoregressive models for time series of counts
• Useful models for time series of counts or simply wrong ones?
• Doubly-inflated Poisson INGARCH models for count time series
• Modeling time series of counts with COM-Poisson INGARCH models
• Modelling interventions in INGARCH processes
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• Flexible and Robust Mixed Poisson INGARCH Models
• Title not available (Why is that?)
• Softplus INGARCH Model
• A generalized mixture integer-valued GARCH model
• A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes
• Checking model adequacy for count time series by using Pearson residuals
• Modeling time-dependent overdispersion in longitudinal count data
• On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
• Periodic negative binomial INGARCH(1, 1) model
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• Detection of excessive activities in time series of graphs
• Order shrinkage and selection for the INGARCH(p,q) model
• Diagnostic checks in time series models based on a new correlation coefficient of residuals
• Detecting overdispersion in INARCH(1) processes
• Time series regression for zero-inflated and overdispersed count data: a functional response model approach
• Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
• Infinitely Divisible Distributions in Integer‐Valued Garch Models
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• A negative binomial integer-valued GARCH model
• Inference and testing for structural change in general Poisson autoregressive models
• Signed compound poisson integer-valued GARCH processes
• Model diagnostics for Poisson INARMA processes using bivariate dispersion indexes
• Title not available (Why is that?)
• INARCH(1) processes: Higher-order moments and jumps
• Poisson–geometric INAR(1) process for modeling count time series with overdispersion
• Bivariate binomial autoregressive models
• The INARCH(1) Model for Overdispersed Time Series of Counts
• Change Detection in INARCH Time Series of Counts
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Inference for nonstationary time series of counts with application to change-point problems
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• A mixture integer-valued ARCH model
• Title not available (Why is that?)
• Zero-inflated compound Poisson distributions in integer-valued GARCH models
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion

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