Self-excited threshold Poisson autoregression

DOI10.1080/01621459.2013.872994MaRDI QIDQ4975415zbMATH OpenOpenAlexFDO

Authors Chao Wang, Heng Liu, Richard A. Davis, Wai Keung Li, Jian-Feng Yao

Publication date 4 August 2017

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1307.4626

zbMATH Keywords

integer-valued GARCHinvariant probability measureself-excited threshold processstrong law of large numberstime series of counts

Mathematics Subject Classification ID

Strong limit theorems (60F15) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: This paper studies theory and inference of an observation-driven model for time series of counts. It is assumed that the observations follow a Poisson distribution conditioned on an accompanying intensity process, which is equipped with a two-regime structure according to the magnitude of the lagged observations. The model remedies one of the drawbacks of the Poisson autoregression model by allowing possibly negative correlation in the observations. Classical Markov chain theory and Lyapunov's method are utilized to derive the conditions under which the process has a unique invariant probability measure and to show a strong law of large numbers of the intensity process. Moreover the asymptotic theory of the maximum likelihood estimates of the parameters is established. A simulation study and a real data application are considered, where the model is applied to the number of major earthquakes in the world.

Recommendations

• Integer-valued self-exciting threshold autoregressive processes
• Threshold negative binomial autoregressive model
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Poisson autoregression
• Self-exciting threshold models for time series of counts with a finite range

Cites work

• Absolute regularity and ergodicity of Poisson count processes
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Generalized autoregressive conditional heteroscedasticity
• Hidden Markov Models for Time Series
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• Integer-Valued GARCH Process
• Iterated Random Functions
• Limit theorems for iterated random functions
• Log-linear Poisson autoregression
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Modeling threshold conditional heteroscedasticity with regime-dependent skewness and kurtosis
• Nonlinear Poisson autoregression
• Observation-driven models for Poisson counts
• On weak dependence conditions for Poisson autoregressions
• Poisson autoregression
• Stationarity of generalized autoregressive moving average models

Cited in

(74)

• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Self-exciting threshold binomial autoregressive processes
• Double generalized threshold models with constraint on the dispersion by the mean
• Generalized Poisson autoregressive models for time series of counts
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
• Flexible bivariate Poisson integer-valued GARCH model
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• On MCMC sampling in self-exciting integer-valued threshold time series models
• Temporal aggregation and systematic sampling for INGARCH processes
• Self-excited hysteretic negative binomial autoregression
• Multivariate count autoregression
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• First-order random coefficients integer-valued threshold autoregressive processes
• Integer-valued bilinear model with dependent counting series
• A threshold mixed count time series model: estimation and application
• Self-exciting threshold models for time series of counts with a finite range
• Parameter estimation for a threshold Poisson log-linear autoregressive model
• Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Quantile self-exciting threshold autoregressive time series models
• Threshold negative binomial autoregressive model
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data
• Necessary and sufficient conditions for the identifiability of observation‐driven models
• Test of parameter changes in a class of observation-driven models for count time series
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Monitoring parameter shift with Poisson integer-valued GARCH models
• The limiting distribution of a non-stationary integer valued GARCH\((1,1)\) process
• Hysteretic Poisson INGARCH model for integer-valued time series
• Generalized Poisson integer-valued autoregressive processes with structural changes
• Count Time Series: A Methodological Review
• On bivariate threshold Poisson integer-valued autoregressive processes
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Stationarity and ergodic properties for some observation-driven models in random environments
• A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning
• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• Self-exciting hysteretic binomial autoregressive processes
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• A dynamic count process
• Grouped network Poisson autoregressive model
• Stationary count time series models
• Count network autoregression
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• Observation-driven random coefficient threshold INAR models for count time series
• Quantile regression estimation for Poisson autoregressive models
• On bivariate self-exciting hysteretic integer-valued autoregressive processes
• Local asymptotic normality and optimal estimation for self-excited threshold generalized INAR(p) models
• High-order self-excited multiple thresholds generalized integer-valued autoregressive model
• A bivariate zero-inflated integer-valued GARCH model and its application to the weekly number of syphilis cases
• A first-order random coefficient mixed-thinning threshold integer-valued autoregressive model to analyze the COVID-19 data
• Self-excited threshold Poisson autoregressive model with covariables
• Monitoring procedures for binary integer autoregressive models with application to telephone complaint data
• Threshold integer-valued autoregressive model with serially dependent innovation
• Forecasting natural disaster frequencies using nonstationary count time series models
• Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models
• Multivariate threshold integer-valued autoregressive processes with explanatory variables
• High-order self-excited threshold integer-valued autoregressive model: estimation and testing
• A new integer-valued threshold autoregressive process based on modified negative binomial operator driven by explanatory variables
• Filtering the intensity of public concern from social media count data with jumps
• Quantile regression estimation for self-exciting threshold integer-valued autoregressive process
• A class of smooth transition \(\mathbb{Z}\)-valued autoregressive model with signed binomial thinning
• A class of mixed thinning threshold integer-valued autoregressive model for the COVID-19 data
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)
• Self-excited hysteretic integer-valued autoregressive processes
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)
• Testing Linearity for Network Autoregressive Models

This page was built for publication: Self-excited threshold Poisson autoregression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4975415)