QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS

DOI10.1111/jtsa.12050zbMath1301.62084OpenAlexW4378764939MaRDI QIDQ2933190

Vasiliki Christou, Konstantinos Fokianos

Publication date: 10 December 2014

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

Full work available at URL: https://doi.org/10.1111/jtsa.12050

zbMATH Keywords

predictionergodicitydiagnosticsautocorrelationweak dependencegeneralized linear modelslink functionmixed Poisson processesobservation-driven model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Generalized linear models (logistic models) (62J12) Diagnostics, and linear inference and regression (62J20)

Related Items (52)

A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION ⋮ A new bivariate integer-valued GARCH model allowing for negative cross-correlation ⋮ On robust estimation of negative binomial INARCH models ⋮ Test for Conditional Variance of Integer-Valued Time Series ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Observation-driven models for discrete-valued time series ⋮ Minimum density power divergence estimator for negative binomial integer-valued GARCH models ⋮ Test of parameter changes in a class of observation-driven models for count time series ⋮ Consistent model selection procedure for general integer-valued time series ⋮ Modeling normalcy‐dominant ordinal time series: An application to air quality level ⋮ A new GJR‐GARCH model for ℤ‐valued time series ⋮ Forecasting transaction counts with integer-valued GARCH models ⋮ Count Time Series: A Methodological Review ⋮ Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ Discrete-time trawl processes ⋮ Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme ⋮ Monitoring parameter change for bivariate time series models of counts ⋮ Rejoinder on: Some recent theory for autoregressive count time series ⋮ Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ Exponential family QMLE-based CUSUM test for integer-valued time series ⋮ Flexible bivariate INGARCH process with a broad range of contemporaneous correlation ⋮ Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ On periodic ergodicity of a general periodic mixed Poisson autoregression ⋮ Threshold negative binomial autoregressive model ⋮ Unnamed Item ⋮ Self-excited hysteretic negative binomial autoregression ⋮ Negative Binomial Autoregressive Process with Stochastic Intensity ⋮ A generalized mixture integer-valued GARCH model ⋮ Ergodicity conditions for a double mixed Poisson autoregression ⋮ Estimation and testing linearity for non-linear mixed Poisson autoregressions ⋮ Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model ⋮ Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models ⋮ Conditional maximum likelihood estimation for a class of observation-driven time series models for count data ⋮ Testing Linearity for Network Autoregressive Models ⋮ Multivariate count autoregression ⋮ Robust estimation for general integer-valued time series models ⋮ Poisson QMLE of Count Time Series Models ⋮ General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator ⋮ Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach ⋮ On count time series prediction ⋮ Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts ⋮ Flexible and Robust Mixed Poisson INGARCH Models ⋮ COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS ⋮ Mixtures of Nonlinear Poisson Autoregressions ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study ⋮ Infinitely Divisible Distributions in Integer‐Valued Garch 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

Uses Software

• R
• Fahrmeir

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Correction to ``On weak dependence conditions for Poisson autoregressions
• On weak dependence conditions for Poisson autoregressions
• Log-linear Poisson autoregression
• Absolute regularity and ergodicity of Poisson count processes
• Asymptotic normality of the quasi-maximum likelihood estimator for multidimensional causal processes
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Weakly dependent chains with infinite memory
• Non-life insurance mathematics. An introduction with the Poisson process
• Time series of count data: Modeling, estimation and diagnostics
• Specification testing in nonlinear and nonstationary time series autoregression
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• GARCH processes: structure and estimation
• A new weak dependence condition and applications to moment inequalities
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Generalized autoregressive conditional heteroscedasticity
• Nonlinear Poisson autoregression
• Stationarity of generalized autoregressive moving average models
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Observation-driven models for Poisson counts
• Poisson Autoregression
• PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• A negative binomial model for time series of counts
• Integer-Valued GARCH Process
• Pseudo Maximum Likelihood Methods: Theory
• Pseudo Maximum Likelihood Methods: Applications to Poisson Models
• Negative binomial and mixed poisson regression
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• A negative binomial integer-valued GARCH model
• Modelling Nonlinear Economic Time Series
• A Generalized Negative Binomial Distribution
• Predictive Model Assessment for Count Data
• Maximum Likelihood Estimation of Misspecified Models
• Multivariate statistical modelling based on generalized linear models.

This page was built for publication: QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS