Poisson QMLE of count time series models

DOI10.1111/JTSA.12167zbMATH Open1381.62244OpenAlexW1926987184MaRDI QIDQ2802909FDOQ2802909

Authors: Ali Ahmad, C. Francq 

Publication date: 3 May 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.12210/21599

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zbMATH Keywords

time series of countsboundary of the parameter spaceconsistency and asymptotic normalitynon-normal asymptotic distributioninteger-valued AR and GARCH modelsPoisson quasi-maximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (82)

• A general procedure for change-point detection in multivariate time series
• Piecewise autoregression for general integer-valued time series
• Test for Conditional Variance of Integer-Valued Time Series
• Poisson autoregression
• Mean targeting estimation for integer-valued time series with application to change point test
• Threshold negative binomial autoregressive model
• Quasi-likelihood inference for negative binomial time series models
• Consistency of a nonparametric least squares estimator in integer-valued GARCH models
• Forecasting transaction counts with integer-valued GARCH models
• Maximum likelihood estimation for an observation driven model for Poisson counts
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Observation-driven models for discrete-valued time series
• Negative binomial quasi-likelihood inference for general integer-valued time series models
• The combined Poisson INMA\((q)\) models for time series of counts
• A note on the stability of multivariate non-linear time series with an application to time series of counts
• Multivariate count autoregression
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Count and duration time series with equal conditional stochastic and mean orders
• Poisson QMLE for change-point detection in general integer-valued time series models
• Temporal aggregation and systematic sampling for INGARCH processes
• Limit theorems for regression models of time series of counts
• Flexible bivariate Poisson integer-valued GARCH model
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• Softplus INGARCH Model
• Robust estimation for general integer-valued time series models
• Parameter estimation for a threshold Poisson log-linear autoregressive model
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• On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
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• POISSON REGRESSION WITH A PERIODIC FUNCTION
• Log-linear Poisson autoregression
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
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• Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
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• Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Some ARMA models for dependent sequences of poisson counts
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• Modeling and inference for multivariate time series of counts based on the INGARCH scheme
• Inference for nonstationary time series of counts with application to change-point problems
• Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
• Independence, successive and conditional likelihood for time series of counts
• Consistent model selection procedure for general integer-valued time series
• A class of max-INAR(1) processes with explanatory variables
• Stationary count time series models
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
• Marginal likelihood estimation for the negative binomial INGARCH model
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• Epidemic change-point detection in general integer-valued time series
• Softplus beta negative binomial integer-valued GARCH model
• A multiplicative thinning‐based integer‐valued GARCH model
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• Periodic negative binomial INGARCH(1, 1) model
• Monitoring parameter change for bivariate time series models of counts
• Exponential family QMLE-based CUSUM test for integer-valued time series
• Bivariate random coefficient integer‐valued autoregressive models: Parameter estimation and change point test
• Quasi-likelihood estimation in volatility models for semi-continuous time series
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• Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
• Grouped network Poisson autoregressive model
• Count network autoregression

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