Time series models with univariate margins in the convolution-closed infinitely divisible class

DOI10.2307/3215348zbMATH Open0865.60029OpenAlexW1979374394MaRDI QIDQ4716092FDOQ4716092

Authors: Harry Joe 

Publication date: 7 July 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3215348

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zbMATH Keywords

count datanegative binomialinfinitely divisiblenon-normal time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Cited In (54)

• Poisson-Driven Stationary Markov Models
• Integer-valued autoregressive models based on quasi Pólya thinning operator
• Existence of a periodic and seasonal INAR process
• Markov infinitely-divisible stationary time-reversible integer-valued processes
• Stationary count time series models
• On quasi Pólya thinning operator
• Changepoint detection in non-exchangeable data
• Negative binomial time series models based on expectation thinning operators
• First-order random coefficients integer-valued threshold autoregressive processes
• Diagnosing and modeling extra-binomial variation for time-dependent counts
• Useful models for time series of counts or simply wrong ones?
• A class of observation-driven random coefficient INAR(1) processes based on negative binomial thinning
• Modelling a non-stationary BINAR(1) Poisson process
• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Discrete-valued ARMA processes
• Efficient method of moments estimators for integer time series models
• On the construction of stationary AR(1) models via random distributions
• A seasonal geometric INAR process based on negative binomial thinning operator
• Noncausal counting processes: a queuing perspective
• Thinning operations for modeling time series of counts -- a survey
• A review of INMA integer-valued model class, application and further development
• Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective
• On a flexible construction of a negative binomial model
• Bivariate first-order random coefficient integer-valued autoregressive processes
• On the stationary version of the generalized hyperbolic ARCH model
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Time series analysis of hybrid neurophysiological data and application of mutual information
• Modelling nonlinear count time series with local mixtures of Poisson autoregressions
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Generating dependent random numbers with given correlations and margins from exponential dispersion models
• Stationary state space models for longitudinal data
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
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• Modeling nonlinearities with mixtures-of-experts of time series models
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• Modeling time series of counts with a new class of INAR(1) model
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• Count Time Series: A Methodological Review
• A study of RCINAR(1) process with generalized negative binomial marginals
• Empirical likelihood for a first-order generalized random coefficient integer-valued autoregressive process
• Bivariate copula-based CUSUM charts for monitoring conditional nonlinear processes with first-order autocorrelation
• Strength of tail dependence based on conditional tail expectation
• Convolution-closed models for count time series with applications
• SUPERPOSITIONED STATIONARY COUNT TIME SERIES
• Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal
• Latent Gaussian Count Time Series
• Thinning-based models in the analysis of integer-valued time series: a review
• Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Time series analysis of categorical data using auto-mutual information
• Modeling nonlinear time series with local mixtures of generalized linear models
• Negative binomial autoregressive process with stochastic intensity
• Extended constructions of stationary autoregressive processes

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