Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models

DOI10.1080/00949655.2021.1890732OpenAlexW3146835578WikidataQ115551854 ScholiaQ115551854MaRDI QIDQ3389597

Seongwoo Seok, Dongwon Kim, Sangyeol Lee

Publication date: 23 March 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2021.1890732

zbMATH Keywords

exponential familyCUSUM testparameter change testcounts time serieszero-inflated INGARCH models

Mathematics Subject Classification ID

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

Related Items

Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme, Exponential family QMLE-based CUSUM test for integer-valued time series, Doubly-inflated Poisson INGARCH models for count time series

Cites Work

• Unnamed Item
• Neglecting parameter changes in GARCH models
• Retrospective change detection for binary time series models
• Structural changes in autoregressive models for binary time series
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Theory and inference for a class of nonlinear models with application to time series of counts
• Parameter Change Test for Poisson Autoregressive Models
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Poisson Autoregression
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• A negative binomial model for time series of counts
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Integer-Valued GARCH Process
• First order autoregressive time series with negative binomial and geometric marginals
• Automatic Lag Selection in Covariance Matrix Estimation
• Testing Parameter Change in General Integer‐Valued Time Series
• An Introduction to Discrete‐Valued Time Series
• The Cusum Test for Parameter Change in Time Series Models
• Interventions in log-linear Poisson autoregression
• A negative binomial integer-valued GARCH model
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Interventions in INGARCH processes
• Changepoints in times series of counts
• First‐order integer valued AR processes with zero inflated poisson innovations
• Parameter change test for zero-inflated generalized Poisson autoregressive models