Poisson autoregression

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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zbMATH Keywords

likelihoodcount datageneralized linear modelasymptotic theoryPoisson regressionirreducibilitygeometric ergodicityobservation-driven modelinteger generalized autoregressive conditional heteroscedasticitynoncanonical link function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (only showing first 100 items - show all)

• 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
• Robust estimation methods for a class of log-linear count time series models
• Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• State-space models for count time series with excess zeros
• Analysis of low count time series data by poisson autoregression
• Log-linear Poisson autoregression
• Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry
• Coupling and perturbation techniques for categorical time series
• On categorical time series models with covariates
• Bootstrapping sample quantiles of discrete data
• Autoregressive and moving average models for zero‐inflated count time series
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Testing Linearity for Network Autoregressive Models
• Inference and testing for structural change in general Poisson autoregressive models
• Forecasting emergency medical service call arrival rates
• INARCH(1) processes: Higher-order moments and jumps
• Thinning-based models in the analysis of integer-valued time series: a review
• On weak dependence conditions for Poisson autoregressions
• On autocorrelation in a Poisson regression model
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Bivariate binomial autoregressive models
• Robust fitting of INARCH models
• Influence diagnostics in log-linear integer-valued GARCH models
• Some recent theory for autoregressive count time series
• Parameter Change Test for Poisson Autoregressive Models
• Stationarity test for Poisson autoregressive model
• Markov regression models for count time series with excess zeros: a partial likelihood approach
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• A robust approach for testing parameter change in Poisson autoregressive models
• Minimum density power divergence estimator for Poisson autoregressive models
• Independence, successive and conditional likelihood for time series of counts
• 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

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