Poisson autoregression
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Publication:3069878
DOI10.1198/JASA.2009.TM08270zbMATH Open1205.62130OpenAlexW4241983685MaRDI QIDQ3069878FDOQ3069878
Authors: Konstantinos Fokianos, Anders Rahbek, Dag Tjøstheim 
Publication date: 1 February 2011
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jasa.2009.tm08270
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likelihoodcount datageneralized linear modelasymptotic theoryPoisson regressionirreducibilitygeometric ergodicityobservation-driven modelinteger generalized autoregressive conditional heteroscedasticitynoncanonical link function
Cited In (only showing first 100 items - show all)
- Inferential aspects of the zero-inflated Poisson INAR(1) process
- Threshold negative binomial autoregressive model
- Consistency of a nonparametric least squares estimator in integer-valued GARCH models
- Multivariate time series models for mixed data
- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Generalized autoregressive moving average models with GARCH errors
- Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
- Change detection in INARCH time series of counts
- Self-exciting jump processes with applications to energy markets
- Modelling interventions in INGARCH processes
- On count time series prediction
- Poisson QMLE for change-point detection in general integer-valued time series models
- Temporal aggregation and systematic sampling for INGARCH processes
- Dependence on a collection of Poisson random variables
- Flexible bivariate Poisson integer-valued GARCH model
- A new class of integer-valued GARCH models for time series of bounded counts with extra-binomial variation
- Recent progress in parameter change test for integer-valued time series models
- Monitoring parameter shift with Poisson integer-valued GARCH models
- On bivariate threshold Poisson integer-valued autoregressive processes
- Absolute regularity of semi-contractive GARCH-type processes
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Retrospective Bayesian outlier detection in INGARCH series
- Self-excited hysteretic negative binomial autoregression
- Softplus INGARCH Model
- Robust estimation for general integer-valued time series models
- CUSUM test for general nonlinear integer-valued GARCH models: comparison study
- Statistical analysis of multivariate discrete-valued time series
- Generalized ARMA models with martingale difference errors
- Variable selection in sparse GLARMA models
- Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Time-varying auto-regressive models for count time-series
- Count Time Series: A Methodological Review
- Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
- Analysis of Poisson varying-coefficient models with autoregression
- An ensemble approach to short‐term forecast of COVID‐19 intensive care occupancy in Italian regions
- Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
- Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
- Detecting overdispersion in INARCH(1) processes
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Financial contagion through space-time point processes
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Some applications of nonlinear and non-Gaussian state-space modelling by means of hidden Markov models
- Local influence analysis for Poisson autoregression with an application to stock transaction data
- New goodness-of-fit diagnostics for conditional discrete response models
- Empirical likelihood for linear and log-linear INGARCH models
- Testing GARCH-X type models
- Tests for time series of counts based on the probability-generating function
- Mixing properties of non-stationary INGARCH(1, 1) processes
- On periodic ergodicity of a general periodic mixed Poisson autoregression
- Ergodicity conditions for a double mixed Poisson autoregression
- On causality test for time series of counts based on poisson ingarch models with application to crime and temperature data
- An Analysis of Poisson Moving-Average Processes
- A discrete-time risk model with Poisson ARCH claim-number process
- Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
- 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
- The limiting distribution of a non-stationary integer valued GARCH\((1,1)\) process
- Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
- Changepoints in times series of counts
- On robust estimation of negative binomial INARCH models
- Piecewise autoregression for general integer-valued time series
- Some properties of multivariate INAR(1) processes
- Infinitely divisible distributions in integer-valued GARCH models
- Jump detection in high-frequency financial data using wavelets
- A goodness-of-fit test for Poisson count processes
- Quasi-likelihood inference for negative binomial time series models
- Self-excited threshold Poisson autoregression
- Nonlinear Poisson autoregression
- Local stationarity and time-inhomogeneous Markov chains
- Stationarity of generalized autoregressive moving average models
- On binary and categorical time series models with feedback
- Generalized Poisson autoregressive models for time series of counts
- Validation tests for the innovation distribution in INAR time series models
- Generalized threshold latent variable model
- Useful models for time series of counts or simply wrong ones?
- Estimation and testing for a Poisson autoregressive model
- Observation-driven models for discrete-valued time series
- Absolute regularity and ergodicity of Poisson count processes
- Serial dependence and regression of Poisson INARMA models
- A note on the stability of multivariate non-linear time series with an application to time series of counts
- Multivariate count autoregression
- Modeling time series of counts with COM-Poisson INGARCH models
- Some recent progress in count time series
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
- Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
- Automatic Smoothing for Poisson Regression
- Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
- Estimation in conditional first order autoregression with discrete support
- Flexible and Robust Mixed Poisson INGARCH Models
- Walsh Fourier transform of locally stationary time series
- Poisson QMLE of count time series models
- Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
- A generalized mixture integer-valued GARCH model
- Degenerate \(U\)- and \(V\)-statistics under ergodicity: asymptotics, bootstrap and applications in statistics
- Rejoinder on: Some recent theory for autoregressive count time series
- On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
- The INARCH(1) model for overdispersed time series of counts
- On consistency for time series model selection
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