Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
From MaRDI portal
Publication:4540758
DOI10.1111/1467-842X.00143zbMath1018.62065MaRDI QIDQ4540758
Gary K. Grunwald, Leanna Tedesco, Rob Hyndman, Richard L. Tweedie
Publication date: 28 July 2002
Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)
data analysisautoregressionnon-Gaussian time seriesPoisson time seriesgamma time seriesexponential time series
Related Items
A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION, Modeling time series of counts with a new class of INAR(1) model, Poisson QMLE for change-point detection in general integer-valued time series models, Some properties of multivariate INAR(1) processes, Practical drift conditions for subgeometric rates of convergence., A new thinning-based \(\mathrm{INAR}(1)\) process for underdispersed or overdispersed counts, Useful models for time series of counts or simply wrong ones?, A Broad Class of Partially Specified Autoregressions on Multi-Casting Data, Intuition for an Old Curiosity and an Implication for MCMC, A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes, Non-Gaussian bifurcating models and quasi-likelihood estimation, Modeling zero inflation in count data time series with bounded support, Partial Likelihood Inference For Time Series Following Generalized Linear Models, An INAR(1) model based on the Pegram and thinning operators with serially dependent innovation, Goodness-of-fit testing of a count time series' marginal distribution, Convolution-closed models for count time series with applications, On the ordering of credibility factors, A model for integer-valued time series with conditional overdispersion, Non-stationary quasi-likelihood and asymptotic optimality, Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models, CLAR(1) point forecasting under estimation uncertainty, Testing for Poisson arrivals in INAR(1) processes, Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series, An \(\mathrm{INAR}(1)\) process for modeling count time series with equidispersion, underdispersion and overdispersion, A multiplicative thinning‐based integer‐valued GARCH model, On periodic ergodicity of a general periodic mixed Poisson autoregression, On eigenvalues of the transition matrix of some count-data Markov chains, Estimation on a GAR(1) Process by the EM Algorithm, Asymptotics for a class of generalized multicast autoregressive processes, Testing the dispersion structure of count time series using Pearson residuals, Absolute regularity and ergodicity of Poisson count processes, The max-BARMA models for counts with bounded support, Entropy invariance for autoregressive processes constructed by linear filtering, Models for autoregressive processes of bounded counts: how different are they?, A Poisson INAR(1) model with serially dependent innovations, Transform martingale estimating functions, A time-series approach to non-self-financing hedging in a discrete-time incomplete market, A geometric minification integer-valued autoregressive model, A statistical model for under- or overdispersed clustered and longitudinal count data, Flexible Bivariate INAR(1) Processes Using Copulas, Asymptotic optimal inference for multivariate branching-Markov processes via martingale estimating functions and mixed normality, Thinning operations for modeling time series of counts -- a survey, EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS, Godambe estimating functions and asymptotic optimal inference, Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model, The max-INAR(1) model for count processes, Stationary mixture transition distribution (MTD) models via predictive distributions, Least-squares estimation for bifurcating autoregressive processes, Testing for serial dependence in time series models of counts, Poisson QMLE of Count Time Series Models, Time series of count data: Modeling, estimation and diagnostics, Branching Markov processes and related asymptotics, Binomial thinning models for integer time series, Lindley first-order autoregressive model with applications, Modelling counts with state-dependent zero inflation, Statistical analysis of multivariate discrete-valued time series, Estimation of autoregressive models with epsilon-skew-normal innovations, Inference for INAR\((p)\) processes with signed generalized power series thinning operator, Testing for parameter constancy in non-Gaussian time series, A Note on Whittle's Likelihood, Fitting non-Gaussian persistent data, Structural Laplace Transform and Compound Autoregressive Models, A mixed thinning based geometric INAR(1) model, First-order mixed integer-valued autoregressive processes with zero-inflated generalized power series innovations, Estimation in conditional first order autoregression with discrete support