A new approach to integer-valued time series modeling: the Neyman type-A INGARCH model

DOI10.1007/S10986-015-9276-XMaRDI QIDQ493625zbMATH OpenOpenAlexFDO

Authors E. Gonçalves, N. Mendes-Lopes, Filipa Silva

Publication date 3 September 2015

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10316/44665

zbMATH Keywords

compound Poisson distributionsGARCH modelinfinitely divisible discrete probability lawsinteger-valued time seriesNeyman type-A distribution

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A mathematical approach to detect the Taylor property in TARCH processes
• A model for integer-valued time series with conditional overdispersion
• A negative binomial integer-valued GARCH model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 2031102 (Why is no real title available?)
• scientific article; zbMATH DE number 3273551 (Why is no real title available?)
• Infinitely divisible distributions in integer-valued GARCH models
• Integer-Valued GARCH Process
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• On the finite dimensional laws of threshold GARCH processes
• Probability. Theory and examples.
• The moments and central moments of a compound distribution
• Thinning operations for modeling time series of counts -- a survey
• Univariate Discrete Distributions

Cited in

(2)

• Testing the compounding structure of the CP-INARCH model
• A unifying class of compound Poisson integer-valued ARMA and GARCH models

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