On weak dependence conditions for Poisson autoregressions

DOI10.1016/J.SPL.2012.01.015MaRDI QIDQ433580zbMATH OpenOpenAlexFDO

Authors Paul Doukhan, Konstantinos Fokianos, Dag Tjøstheim

Publication date 5 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.01.015

zbMATH Keywords

predictionstationarityautocorrelationgeneralized linear modelslimit theorems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Non-Markovian processes: estimation (62M09)

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Cites work

• scientific article; zbMATH DE number 1808197 (Why is no real title available?)
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• A new weak dependence condition and applications to moment inequalities
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• Coupling for \(\tau\)-dependent sequences and applications
• Generalized autoregressive conditional heteroscedasticity
• Integer-Valued GARCH Process
• Log-linear Poisson autoregression
• Maximum likelihood estimation for an observation driven model for Poisson counts
• Mixing: Properties and examples
• Modelling Nonlinear Economic Time Series
• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• Nonlinear Poisson autoregression
• Observation-driven models for Poisson counts
• Poisson autoregression
• Weak dependence. With examples and applications.
• Weakly dependent chains with infinite memory

Cited in

(73)

• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Integer-valued asymmetric GARCH modeling
• Deviation inequalities for separately Lipschitz functionals of composition of random functions
• Dependence on a collection of Poisson random variables
• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach
• Inference and testing for structural change in general Poisson autoregressive models
• Robust parameter change test for Poisson autoregressive models
• On categorical time series models with covariates
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
• New goodness-of-fit diagnostics for conditional discrete response models
• Quasi-likelihood inference for negative binomial time series models
• Self-excited hysteretic negative binomial autoregression
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• On some properties of autoregressive conditional Poisson (ACP) models
• Minimum density power divergence estimator for Poisson autoregressive models
• Inference for nonstationary time series of counts with application to change-point problems
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Changepoints in times series of counts
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Piecewise autoregression for general integer-valued time series
• On binary and categorical time series models with feedback
• A robust approach for testing parameter change in Poisson autoregressive models
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Concurrent neural network: a model of competition between times series
• On weak dependence conditions: the case of discrete valued processes
• Bootstrapping sample quantiles of discrete data
• Ergodicity conditions for a double mixed Poisson autoregression
• Some recent theory for autoregressive count time series
• Rejoinder on: Some recent theory for autoregressive count time series
• Serial dependence and regression of Poisson INARMA models
• Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models
• A generalized mixture integer-valued GARCH model
• Count Time Series: A Methodological Review
• Testing Linearity for Network Autoregressive Models
• Self-excited threshold Poisson autoregression
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Correction to ``On weak dependence conditions for Poisson autoregressions
• Monitoring parameter shift with Poisson integer-valued GARCH models
• Observation-driven models for discrete-valued time series
• On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
• Flexible bivariate Poisson integer-valued GARCH model
• A goodness-of-fit test for Poisson count processes
• Recent progress in parameter change test for integer-valued time series models
• Poisson autoregression
• Parameter Change Test for Poisson Autoregressive Models
• Generalized Poisson autoregressive models for time series of counts
• Retrospective Bayesian outlier detection in INGARCH series
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Multivariate count autoregression
• Nonlinear Poisson autoregression
• Comments on: Some recent theory for autoregressive count time series
• Comments on: Some recent theory for autoregressive count time series
• Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
• Robust fitting of INARCH models
• Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
• On count time series prediction
• Threshold negative binomial autoregressive model
• Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
• Forecasting transaction counts with integer-valued GARCH models
• Strong mixing properties of discrete-valued time series with exogenous covariates
• Count and duration time series with equal conditional stochastic and mean orders
• Learning CHARME models with neural networks
• Consistent model selection procedure for general integer-valued time series
• Dynamic binomials with an application to gender bias analysis
• Test for Conditional Variance of Integer-Valued Time Series
• Asymptotic properties of conditional least-squares estimators for array time series
• Order shrinkage and selection for the INGARCH(p,q) model
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• Count network autoregression

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