Interventions in log-linear Poisson autoregression

DOI10.1177/1471082X1201200401OpenAlexW2061547296MaRDI QIDQ4970959

Konstantinos Fokianos, Roland Fried

Publication date: 8 October 2020

Published in: Statistical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1177/1471082x1201200401

zbMATH Keywords

likelihoodpowergeneralized linear modelslink functionparametric bootstrapoutlier detectionobservation-driven modelslevel shiftstransient shifts

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (22)

Monitoring parameter change for time series models with application to location-Scale heteroscedastic models ⋮ Influence diagnostics in log-linear integer-valued GARCH models ⋮ Minimum density power divergence estimator for Poisson autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions ⋮ Binomial AR(1) processes with innovational outliers ⋮ Mean targeting estimation for integer-valued time series with application to change point test ⋮ Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme ⋮ Monitoring parameter change for bivariate time series models of counts ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ Exponential family QMLE-based CUSUM test for integer-valued time series ⋮ Asymptotic normality and parameter change test for bivariate Poisson INGARCH models ⋮ Hysteretic Poisson INGARCH model for integer-valued time series ⋮ Robust parameter change test for Poisson autoregressive models ⋮ Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts ⋮ Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies ⋮ Robust estimation methods for a class of log-linear count time series models ⋮ Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models ⋮ Flexible and Robust Mixed Poisson INGARCH Models ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study ⋮ Unnamed Item

Uses Software

• Fahrmeir

Cites Work

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• Log-linear Poisson autoregression
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• Observation-driven models for Poisson counts
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• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
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• Integer-Valued GARCH Process
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• Intervention Analysis with Applications to Economic and Environmental Problems
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• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Interventions in INGARCH processes
• Testing model adequacy for some Markov regression models for time series
• Multivariate statistical modelling based on generalized linear models.

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