Self-Excited Threshold Poisson Autoregression

DOI10.1080/01621459.2013.872994zbMath1367.62267arXiv1307.4626OpenAlexW2165098365MaRDI QIDQ4975415

Wai Keung Li, Heng Liu, Chao Wang, Richard A. Davis, 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

strong law of large numberstime series of countsinvariant 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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Cites Work

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• Generalized autoregressive conditional heteroscedasticity
• Nonlinear Poisson autoregression
• Stationarity of generalized autoregressive moving average models
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Observation-driven models for Poisson counts
• Poisson Autoregression
• Integer-Valued GARCH Process
• Iterated Random Functions
• Limit theorems for iterated random functions
• Hidden Markov Models for Time Series

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