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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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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Cited in
(50)- Count network autoregression
- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- Stationary count time series models
- Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
- Threshold negative binomial autoregressive model
- Necessary and sufficient conditions for the identifiability of observation‐driven models
- First-order random coefficients integer-valued threshold autoregressive processes
- Bayesian log-linear beta-negative binomial integer-valued GARCH model
- Generalized Poisson autoregressive models for time series of counts
- A new bivariate integer-valued GARCH model allowing for negative cross-correlation
- Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
- Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
- Multivariate count autoregression
- Self-exciting threshold binomial autoregressive processes
- Double generalized threshold models with constraint on the dispersion by the mean
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- Self-exciting hysteretic binomial autoregressive processes
- Flexible bivariate Poisson integer-valued GARCH model
- Generalized Poisson integer-valued autoregressive processes with structural changes
- A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
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- On bivariate threshold Poisson integer-valued autoregressive processes
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- Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts
- Parameter estimation for a threshold Poisson log-linear autoregressive model
- Stationarity and ergodic properties for some observation-driven models in random environments
- 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
- Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
- Count Time Series: A Methodological Review
- 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 threshold mixed count time series model: estimation and application
- Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
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- Threshold autoregression analysis for finite-range time series of counts with an application on measles data
- Grouped network Poisson autoregressive model
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