BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING

DOI10.1002/jtsa.12054zbMath1301.62094OpenAlexW1590875003MaRDI QIDQ2933194

Christian H. Weiß, Philip K. Pollett

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/10.1002/jtsa.12054

zbMATH Keywords

parameter estimationstationaritynormal approximationmetapopulation modelsbinomial AR(1) modelbinomial INARCH(1) modeloverdispersion and underdispersion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (24)

Flexible binomial AR(1) processes using copulas ⋮ Self-exciting threshold binomial autoregressive processes ⋮ Bivariate binomial autoregressive models ⋮ A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation ⋮ Modeling zero inflation in count data time series with bounded support ⋮ Extended binomial AR(1) processes with generalized binomial thinning operator ⋮ EWMA control charts for monitoring correlated counts with finite range ⋮ Statistical analysis of the non-stationary binomial AR(1) model with change point ⋮ First-order binomial autoregressive processes with Markov-switching coefficients ⋮ Analysis of zero-and-one inflated bounded count time series with applications to climate and crime data ⋮ On consistency for time series model selection ⋮ A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ On eigenvalues of the transition matrix of some count-data Markov chains ⋮ A Poisson INAR(1) model with serially dependent innovations ⋮ A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning ⋮ Noise-indicator nonnegative integer-valued autoregressive time series of the first order ⋮ Two classes of dynamic binomial integer-valued ARCH models ⋮ Self-exciting threshold models for time series of counts with a finite range ⋮ Threshold autoregression analysis for finite-range time series of counts with an application on measles data ⋮ A multinomial autoregressive model for finite-range time series of counts ⋮ Thinning-based models in the analysis of integer-valued time series: a review ⋮ A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion ⋮ A new binomial autoregressive process with explanatory variables ⋮ Bayesian empirical likelihood inference for the generalized binomial AR(1) model

Uses Software

• SurvStat@RKI

Cites Work

• Unnamed Item
• Inference in binomial AR(1) models
• A non-stationary integer-valued autoregressive model
• Limit theorems for discrete-time metapopulation models
• A new concept for count distributions
• Discrete analogues of self-decomposability and stability
• Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry
• Integer-Valued Self-Exciting Threshold Autoregressive Processes
• Monitoring correlated processes with binomial marginals
• Binomial autoregressive moving average models
• Integer-Valued GARCH Process
• The INARCH(1) Model for Overdispersed Time Series of Counts
• Chain Binomial Models and Binomial Autoregressive Processes
• Binomial AR(1) processes: moments, cumulants, and estimation

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