A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series

DOI10.1081/STM-120020388MaRDI QIDQ4806056zbMATH OpenOpenAlexFDO

Authors Rong Zhu, Harry Joe

Publication date 4 May 2003

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/stm-120020388

zbMATH Keywords

continuous-time Markov processesstationary distributionscount time series dataextended thinning operators

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• scientific article; zbMATH DE number 194136 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Continuous-time Markov chains. An applications-oriented approach
• Discrete analogues of self-decomposability and stability
• EXACT MAXIMUM LIKELIHOOD ESTIMATE AND LAGRANGE MULTIPLIER TEST STATISTIC FOR ARMA MODELS
• Explicit stationary distributions for some galton-watson processes with immigration
• First order autoregressive time series with negative binomial and geometric marginals
• Generalized gamma convolutions and related classes of distributions and densities
• On the Generalized "Birth-and-Death" Process
• Some ARMA models for dependent sequences of poisson counts
• Some results for dams with Markovian inputs

Cited in

(22)

• Negative binomial time series models based on expectation thinning operators
• Serial dependence and regression of Poisson INARMA models
• Optimal Alarm Systems for Count Processes
• Count Data Time Series Models Based on Expectation Thinning
• Fully observed INAR(1) processes
• Thinning operations for modeling time series of counts -- a survey
• On a flexible construction of a negative binomial model
• A New Class of Autoregressive Models for Time Series of Binomial Counts
• The combined \(\mathrm{INAR}(p)\) models for time series of counts
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Likelihood Inference for Exponential-Trawl Processes
• Estimation in an integer-valued autoregressive process with negative binomial marginals\newline (NBINAR(1))
• Poisson count time series
• A new geometric INAR(1) process based on counting series with deflation or inflation of zeros
• Simultaneous confidence regions for the parameters of a Poisson \(INAR(1)\) model
• SUPERPOSITIONED STATIONARY COUNT TIME SERIES
• Thinning-based models in the analysis of integer-valued time series: a review
• An \(\mathrm{INAR}(1)\) process for modeling count time series with equidispersion, underdispersion and overdispersion
• Tests for counting sequences of integer-valued autoregressive models
• Stationary infinitely divisible processes
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion

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