Self-exciting threshold models for time series of counts with a finite range

DOI10.1080/15326349.2015.1085319MaRDI QIDQ2803404zbMATH OpenOpenAlexFDO

Authors Tobias A. Möller

Publication date 4 May 2016

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2015.1085319

zbMATH Keywords

parameter estimationzero-inflationcount data time seriesbinomial INARCH(1) modelself-exciting threshold

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 3174032 (Why is no real title available?)
• scientific article; zbMATH DE number 826247 (Why is no real title available?)
• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
• Integer-valued self-exciting threshold autoregressive processes
• On conditional least squares estimation for stochastic processes
• Self-excited threshold Poisson autoregression
• Threshold models in non-linear time series analysis
• Threshold models in time series analysis -- 30 years on
• Zero-Inflated Poisson Models and C.A.MAN: A Tutorial Collection of Evidence
• Zero-modified geometric INAR(1) process for modelling count time series with deflation or inflation of zeros
• Zero‐Inflated Poisson and Binomial Regression with Random Effects: A Case Study

Cited in

(17)

• Integer-valued self-exciting threshold autoregressive processes
• Self-excited threshold Poisson autoregression
• First-order random coefficients integer-valued threshold autoregressive processes
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Self-exciting threshold binomial autoregressive processes
• First-order binomial autoregressive processes with Markov-switching coefficients
• A model and application of binary random sequence with probabilities depending on history.
• Integer-valued self-exciting periodic threshold autogressive processes
• Threshold models for integer-valued time series with infinite or finite range
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• An extension of Hawkes processes with ephemeral nearest effects
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• A model of discrete random walk with history-dependent transition probabilities
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• A threshold varying-coefficient autoregressive model for analyzing the influence of media reports of suicide on the actual suicides
• A threshold mixed count time series model: estimation and application
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data

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