Self-excited threshold Poisson autoregression

DOI10.1080/01621459.2013.872994zbMATH Open1367.62267arXiv1307.4626OpenAlexW2165098365MaRDI QIDQ4975415FDOQ4975415

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)

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.

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

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zbMATH Keywords

time series of countsstrong law of large numbersinvariant probability measureinteger-valued GARCHself-excited threshold process

Mathematics Subject Classification ID

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

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Cited In (50)

• A dynamic count process
• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
• Stationary count time series models
• Threshold negative binomial autoregressive model
• Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
• Necessary and sufficient conditions for the identifiability of observation‐driven models
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• First-order random coefficients integer-valued threshold autoregressive processes
• Generalized Poisson autoregressive models for time series of counts
• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
• Multivariate count autoregression
• Self-exciting hysteretic binomial autoregressive processes
• Self-exciting threshold binomial autoregressive processes
• Double generalized threshold models with constraint on the dispersion by the mean
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• Temporal aggregation and systematic sampling for INGARCH processes
• Generalized Poisson integer-valued autoregressive processes with structural changes
• Flexible bivariate Poisson integer-valued GARCH model
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• Monitoring parameter shift with Poisson integer-valued GARCH models
• On bivariate threshold Poisson integer-valued autoregressive processes
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Self-excited hysteretic negative binomial autoregression
• Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
• Stationarity and ergodic properties for some observation-driven models in random environments
• Parameter estimation for a threshold Poisson log-linear autoregressive model
• Quantile self-exciting threshold autoregressive time series models
• Self-exciting threshold models for time series of counts with a finite range
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
• Count Time Series: A Methodological Review
• Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
• Integer-valued bilinear model with dependent counting series
• Hysteretic Poisson INGARCH model for integer-valued time series
• Testing Linearity for Network Autoregressive Models
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• On MCMC sampling in self-exciting integer-valued threshold time series models
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• An integer-valued threshold autoregressive process based on negative binomial thinning
• A new first-order mixture Integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning
• A threshold mixed count time series model: estimation and application
• Test of parameter changes in a class of observation-driven models for count time series
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• The limiting distribution of a non-stationary integer valued GARCH\((1,1)\) process
• Threshold autoregression analysis for finite-range time series of counts with an application on measles data
• Grouped network Poisson autoregressive model
• Count network autoregression

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