Mixtures of nonlinear Poisson autoregressions
DOI10.1111/JTSA.12558zbMATH Open1468.62334OpenAlexW2971645112MaRDI QIDQ4997690FDOQ4997690
Authors: Paul Doukhan, Konstantinos Fokianos, Joseph Rynkiewicz 
Publication date: 30 June 2021
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/129126/1/switchinginarchv1.pdf
Recommendations
ergodicitystationaritynonlinear time seriespenalized likelihoodidentifiabilityBayesian information criterion
Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Limit theorems for vector-valued random variables (infinite-dimensional case) (60B12)
Cites Work
- Title not available (Why is that?)
- Asymptotic Statistics
- Mixing: Properties and examples
- Finite mixture and Markov switching models.
- On a logistic mixture autoregressive model
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- Title not available (Why is that?)
- On a Mixture Autoregressive Model
- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
- Nonlinear Poisson autoregression
- Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models
- Inference in hidden Markov models.
- Poisson QMLE of count time series models
- Observation-driven models for Poisson counts
- Quasi-likelihood inference for negative binomial time series models
- Poisson autoregression
- Title not available (Why is that?)
- Title not available (Why is that?)
- Conditional heteroskedasticity driven by hidden Markov chains
- Integer-Valued GARCH Process
- Asymptotics for likelihood ratio tests under loss of identifiability
- Weak dependence. With examples and applications.
- Invariance principles for absolutely regular empirical processes
- Coupling for \(\tau\)-dependent sequences and applications
- Stability of Markovian processes I: criteria for discrete-time Chains
- Absolute regularity and ergodicity of Poisson count processes
- Maximum-likelihood estimation for hidden Markov models
- Hidden Markov Models for Time Series
- Weakly dependent chains with infinite memory
- Interventions in INGARCH processes
- Some recent theory for autoregressive count time series
- Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
- Stationarity of multivariate Markov-switching ARMA models
- Correction to ``On weak dependence conditions for Poisson autoregressions
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Likelihood ratio inequalities with applications to various mixtures
- Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
- The likelihood ratio test for the number of components in a mixture with Markov regime
- Inference and testing for structural change in general Poisson autoregressive models
- Asymptotic properties of autoregressive regime-switching models
- A Student t-mixture autoregressive model with applications to heavy-tailed financial data
- Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
- A mixture integer-valued ARCH model
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Modeling nonlinear time series with local mixtures of generalized linear models
- Time-varying transition probabilities for Markov regime switching models
Cited In (10)
- A Dynamic Taylor’s law
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Consistency of a nonparametric least squares estimator in integer-valued GARCH models
- Nonlinear Poisson autoregression
- Hierarchical Markov-switching models for multivariate integer-valued time-series
- A multiplicative thinning‐based integer‐valued GARCH model
- A dynamic count process
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Estimation and testing linearity for non-linear mixed Poisson autoregressions
- Markov Poisson regression models for discrete time series. Part 1: Methodology
This page was built for publication: Mixtures of nonlinear Poisson autoregressions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4997690)
