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

DOI10.1111/J.1467-9892.2006.00485.XMaRDI QIDQ3440765zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

binomial thinningINAR(1)innovationsinteger valued autoregressionmarginal distributionmaximum likelihood estimation

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)

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Cites work

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• A note on the innovation distribution of a gamma distributed autoregressive process
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• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Generalized gamma convolutions and related classes of distributions and densities
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• Some ARMA models for dependent sequences of poisson counts
• Stationary Time Series Models with Exponential Dispersion Model Margins
• Time series models with univariate margins in the convolution-closed infinitely divisible class

Cited in

(65)

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

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