Self-excited threshold Poisson autoregression
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Publication:4975415
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.
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- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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Cited in
(50)- Integer-valued bilinear model with dependent counting series
- Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
- Temporal aggregation and systematic sampling for INGARCH processes
- Random coefficients integer-valued threshold autoregressive processes driven by logistic regression
- Hysteretic Poisson INGARCH model for integer-valued time series
- First-order random coefficients integer-valued threshold autoregressive processes
- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
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- Self-excited hysteretic negative binomial autoregression
- On periodic ergodicity of a general periodic mixed Poisson autoregression
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- Grouped network Poisson autoregressive model
- Flexible bivariate Poisson integer-valued GARCH model
- On MCMC sampling in self-exciting integer-valued threshold time series models
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- Count network autoregression
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- Threshold negative binomial autoregressive model
- A dynamic count process
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