Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning

DOI10.1111/J.1467-9892.2006.00485.XzbMATH Open1111.62085OpenAlexW2036948282MaRDI QIDQ3440765FDOQ3440765

Authors: Rong Zhu, Harry Joe 

Publication date: 29 May 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00485.x

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zbMATH Keywords

maximum likelihood estimationmarginal distributionbinomial thinninginnovationsINAR(1)integer valued autoregression

Mathematics Subject Classification ID

Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• Some ARMA models for dependent sequences of poisson counts
• Generalized gamma convolutions and related classes of distributions and densities
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• A note on the innovation distribution of a gamma distributed autoregressive process
• Time series models with univariate margins in the convolution-closed infinitely divisible class
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
• Stationary Time Series Models with Exponential Dispersion Model Margins

Cited In (59)

• Locally asymptotically efficient estimation for parametric PINAR(p) models
• Untangling serially dependent underreported count data for gender-based violence
• Fluctuations and precise deviations of cumulative INAR time series
• A bilinear modeling in counts time series with applications
• Periodic INAR(1) model with Bell innovations distribution
• A combined integer-valued autoregressive process with actuarial applications
• Feasible parameter regions for alternative discrete state space models
• Changepoints in times series of counts
• Efficient estimation in periodic INAR(\(p\)) model: nonparametric innovation distributions case
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• A goodness-of-fit test for Poisson count processes
• Negative binomial time series models based on expectation thinning operators
• Generalized Poisson autoregressive models for time series of counts
• Improved estimation for Poisson INAR(1) models
• A geometric time series model with dependent Bernoulli counting series
• Count Data Time Series Models Based on Expectation Thinning
• Discrete-valued ARMA processes
• Random environment integer-valued autoregressive process
• A seasonal geometric INAR process based on negative binomial thinning operator
• Thinning operations for modeling time series of counts -- a survey
• A note on an integer valued time series model with Poisson-negative binomial marginal distribution
• Zero truncated Poisson integer-valued AR\((1)\) model
• A New Class of Autoregressive Models for Time Series of Binomial Counts
• The combined \(\mathrm{INAR}(p)\) models for time series of counts
• Efficient order selection algorithms for integer-valued ARMA processes
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• Integer-valued autoregressive models for counts showing underdispersion
• Modeling time series of counts with a new class of INAR(1) model
• Model selection for time series of count data
• Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
• A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
• Some geometric mixed integer-valued autoregressive (INAR) models
• Order shrinkage and selection for the INGARCH(p,q) model
• Parameter estimation for binomial \(\mathrm{AR}(1)\) models with applications in finance and industry
• A combined geometric \(INAR(p)\) model based on negative binomial thinning
• QMLE of periodic integer-valued time series models
• On some periodic INARMA(p,q) models
• Efficient estimation in periodic INAR(1) model: parametric case
• An INAR(1) model based on a mixed dependent and independent counting series
• A Poisson INAR(1) process with a seasonal structure
• A new mixed first-order integer-valued autoregressive process with Poisson innovations
• First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• Thinning-based models in the analysis of integer-valued time series: a review
• Efficient estimation in (PINAR(1)) model: semiparametric case
• Tests for time series of counts based on the probability-generating function
• Extended binomial AR(1) processes with generalized binomial thinning operator
• Asymptotic inference for moderate deviations from a unit root of nearly unstable INAR(1) processes
• Statistical inference for the covariates-driven binomial AR(1) process
• The max-INAR(1) model for count processes
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• Test of parameter changes in a class of observation-driven models for count time series
• Binomial ARMA count series from renewal processes
• 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
• Generalized random environment INAR models of higher order
• Maximum likelihood estimation of the DDRCINAR(p) model
• Change-point detection in binomial thinning processes, with applications in epidemiology

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