The INARCH(1) model for overdispersed time series of counts
DOI10.1080/03610918.2010.490317zbMATH Open1204.62161OpenAlexW2132620360MaRDI QIDQ3590004FDOQ3590004
Authors: Christian H. Weiß 
Publication date: 17 September 2010
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2010.490317
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overdispersioncontrol chartsINGARCH modelsimultaneous confidence intervalsACP ModelPoisson-Charlier expansion
Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Parametric tolerance and confidence regions (62F25) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)
Cites Work
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- Poisson autoregression
- Quasi-Likelihood and Optimal Estimation, Correspondent Paper
- On conditional least squares estimation for stochastic processes
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- On modelling overdispersion of counts
- Asymptotic expansions in the Poisson limit theorem
Cited In (39)
- Changepoints in times series of counts
- A model for integer-valued time series with conditional overdispersion
- A parametric time series model with covariates for integers in Z
- First-order random coefficients integer-valued threshold autoregressive processes
- Testing the compounding structure of the CP-INARCH model
- Doubly-inflated Poisson INGARCH models for count time series
- Modeling time series of counts with COM-Poisson INGARCH models
- Fully observed INAR(1) processes
- Integer-valued moving average models with structural changes
- Generalized Poisson integer-valued autoregressive processes with structural changes
- Title not available (Why is that?)
- A new class of INAR(1) model for count time series
- BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
- Phase II monitoring of autocorrelated attributed social networks based on generalized estimating equations
- A generalized mixture integer-valued GARCH model
- Efficient accounting for estimation uncertainty in coherent forecasting of count processes
- Periodic negative binomial INGARCH(1, 1) model
- Modeling time series of counts with a new class of INAR(1) model
- On the extremes of the max-INAR(1) process for time series of counts
- First-order integer-valued autoregressive process with Markov-switching coefficients
- Detecting overdispersion in INARCH(1) processes
- Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes
- Zero-inflated Poisson and negative binomial integer-valued GARCH models
- Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model
- A new INAR(1) process with bounded support for counts showing equidispersion, underdispersion and overdispersion
- A new mixed first-order integer-valued autoregressive process with Poisson innovations
- A Poisson INAR(1) model with serially dependent innovations
- INARCH(1) processes: Higher-order moments and jumps
- Testing the dispersion structure of count time series using Pearson residuals
- A dependent counting INAR model with serially dependent innovation
- Extended binomial AR(1) processes with generalized binomial thinning operator
- Testing for Poisson arrivals in INAR(1) processes
- Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation
- Robust fitting of INARCH models
- The Marginal Distribution of Compound Poisson INAR(1) Processes
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- On eigenvalues of the transition matrix of some count-data Markov chains
- A robust approach for testing parameter change in Poisson autoregressive models
- Criteria for evaluating approximations of count distributions
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