The INARCH(1) model for overdispersed time series of counts
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ACP Modelcontrol chartsINGARCH modeloverdispersionPoisson-Charlier expansionsimultaneous confidence intervals
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30)
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Cites work
- An approach to the probability distribution of cusum run length
- Asymptotic expansions in the Poisson limit theorem
- Asymptotic properties of CLS estimators in the Poisson AR(1) model
- Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
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- Integer-Valued GARCH Process
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- Poisson autoregression
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- THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
- Time series of count data: Modeling, estimation and diagnostics
Cited in
(49)- Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
- Estimation methods for a flexible INAR(1) COM-Poisson time series model
- Testing for Poisson arrivals in INAR(1) processes
- On eigenvalues of the transition matrix of some count-data Markov chains
- Integer-valued moving average models with structural changes
- A model for integer-valued time series with conditional overdispersion
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- A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion
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- A generalized mixture integer-valued GARCH model
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- Modeling time series of counts with a new class of INAR(1) model
- Testing the compounding structure of the CP-INARCH model
- Modelling time series of counts with overdispersion
- Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
- The marginal distribution of compound Poisson INAR(1) processes
- BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
- Nonstationary INAR(1) process with qth-order autocorrelation innovation
- A new class of INAR(1) model for count time series
- A Poisson INAR(1) model with serially dependent innovations
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- scientific article; zbMATH DE number 7495718 (Why is no real title available?)
- Extended binomial AR(1) processes with generalized binomial thinning operator
- Criteria for evaluating approximations of count distributions
- First-order integer-valued autoregressive process with Markov-switching coefficients
- Fully observed INAR(1) processes
- Robust fitting of INARCH models
- On hitting times for Markov time series of counts with applications to quality control
- Changepoints in times series of counts
- A dependent counting INAR model with serially dependent innovation
- Efficient accounting for estimation uncertainty in coherent forecasting of count processes
- Generalized Poisson integer-valued autoregressive processes with structural changes
- On the extremes of the max-INAR(1) process for time series of counts
- Detecting overdispersion in INARCH(1) processes
- INARCH(1) processes: Higher-order moments and jumps
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- Phase II monitoring of autocorrelated attributed social networks based on generalized estimating equations
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- Threshold integer-valued autoregressive model with serially dependent innovation
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- Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model
- Coherent forecasting for over-dispersed time series of count data
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