Theory and inference for a class of nonlinear models with application to time series of counts
From MaRDI portal
Publication:2828623
Abstract: This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying process that evolves as a function of lagged observations. We employ an iterated random function approach and a special coupling technique to show that, under suitable conditions on the parameter space, the conditional mean process is a geometric moment contracting Markov chain and that the observation process is absolutely regular with geometrically decaying coefficients. Moreover the asymptotic theory of the maximum likelihood estimates of the parameters is established under some mild assumptions. These models are applied to two examples; the first is the number of transactions per minute of Ericsson stock and the second is related to return times of extreme events of Goldman Sachs Group stock.
Recommendations
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
- Nonlinear Poisson autoregression
- Modeling nonlinear time series with local mixtures of generalized linear models
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Nonlinear Autoregression with Positive Innovations
Cited in
(74)- Count network autoregression
- Piecewise autoregression for general integer-valued time series
- Consistent model selection procedure for general integer-valued time series
- A general procedure for change-point detection in multivariate time series
- A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
- 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
- Test for Conditional Variance of Integer-Valued Time Series
- Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
- Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
- Threshold negative binomial autoregressive model
- Mean targeting estimation for integer-valued time series with application to change point test
- A new GJR‐GARCH model for ℤ‐valued time series
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Iterations of dependent random maps and exogeneity in nonlinear dynamics
- Marginal likelihood estimation for the negative binomial INGARCH model
- Multivariate time series models for mixed data
- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Observation-driven models for discrete-valued time series
- Forecasting transaction counts with integer-valued GARCH models
- A multiplicative thinning‐based integer‐valued GARCH model
- Multivariate count autoregression
- Count and duration time series with equal conditional stochastic and mean orders
- Temporal aggregation and systematic sampling for INGARCH processes
- Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
- Sequential online monitoring for autoregressive time series of counts
- A model and application of binary random sequence with probabilities depending on history.
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
- Flexible bivariate Poisson integer-valued GARCH model
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
- Flexible and Robust Mixed Poisson INGARCH Models
- Recent progress in parameter change test for integer-valued time series models
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
- A dynamic count process
- Strong mixing properties of discrete-valued time series with exogenous covariates
- A new class of INAR(1) model for count time series
- Walsh Fourier transform of locally stationary time series
- Bivariate models for time series of counts: a comparison study between PBINAR models and dynamic factor models
- Softplus INGARCH Model
- Robust estimation for general integer-valued time series models
- Stationarity and ergodic properties for some observation-driven models in random environments
- Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
- On conditional maximum likelihood estimation for INGARCH(p,q) models
- CUSUM test for general nonlinear integer-valued GARCH models: comparison study
- Statistical analysis of multivariate discrete-valued time series
- Modeling time series of counts with a new class of INAR(1) model
- A model of discrete random walk with history-dependent transition probabilities
- Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme
- Count Time Series: A Methodological Review
- Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
- Nearly unstable integer‐valued ARCH process and unit root testing
- Monitoring parameter change for bivariate time series models of counts
- Nonparametric inference for continuous-time event counting and link-based dynamic network models
- Exponential family QMLE-based CUSUM test for integer-valued time series
- Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Discrete random processes with memory: models and applications.
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Convolution-closed models for count time series with applications
- Testing Linearity for Network Autoregressive Models
- Local influence analysis for Poisson autoregression with an application to stock transaction data
- Inference and testing for structural change in general Poisson autoregressive models
- Autoregressive and moving average models for zero‐inflated count time series
- A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
- A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
- On periodic ergodicity of a general periodic mixed Poisson autoregression
- A perturbation analysis of Markov chains models with time-varying parameters
- Soft-clipping INGARCH models for time series of bounded counts
- Modeling and inference for multivariate time series of counts based on the INGARCH scheme
- Test of parameter changes in a class of observation-driven models for count time series
- Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
- Modeling nonlinear time series with local mixtures of generalized linear models
- 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
This page was built for publication: Theory and inference for a class of nonlinear models with application to time series of counts
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2828623)
