Mixtures of nonlinear Poisson autoregressions
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Cites work
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- A Gaussian Mixture Autoregressive Model for Univariate Time Series
- A Student t-mixture autoregressive model with applications to heavy-tailed financial data
- A mixture integer-valued ARCH model
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- Asymptotic Statistics
- Asymptotic properties of autoregressive regime-switching models
- Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models
- Asymptotic properties of the maximum likelihood estimator in autoregressive models with Markov regime
- Asymptotics for likelihood ratio tests under loss of identifiability
- Conditional heteroskedasticity driven by hidden Markov chains
- Consistent Estimation of Linear and Non-linear Autoregressive Models with Markov Regime
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- Coupling for \(\tau\)-dependent sequences and applications
- Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
- Finite mixture and Markov switching models.
- Hidden Markov Models for Time Series
- Inference and testing for structural change in general Poisson autoregressive models
- Inference in hidden Markov models.
- Integer-Valued GARCH Process
- Interventions in INGARCH processes
- Invariance principles for absolutely regular empirical processes
- Likelihood ratio inequalities with applications to various mixtures
- Maximum-likelihood estimation for hidden Markov models
- Mixing: Properties and examples
- Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
- Modeling nonlinear time series with local mixtures of generalized linear models
- Modelling nonlinear count time series with local mixtures of Poisson autoregressions
- Nonlinear Poisson autoregression
- Observation-driven models for Poisson counts
- On a Mixture Autoregressive Conditional Heteroscedastic Model
- On a Mixture Autoregressive Model
- On a logistic mixture autoregressive model
- Poisson QMLE of count time series models
- Poisson autoregression
- Quasi-likelihood inference for negative binomial time series models
- Some recent theory for autoregressive count time series
- Stability of Markovian processes I: criteria for discrete-time Chains
- Stability of mixtures of vector autoregressions with autoregressive conditional heteroskedastic\-ity
- Stationarity of multivariate Markov-switching ARMA models
- Testing the order of a model using locally conic parametrization: Population mixtures and stationary ARMA processes
- The likelihood ratio test for the number of components in a mixture with Markov regime
- Time-varying transition probabilities for Markov regime switching models
- Weak dependence. With examples and applications.
- Weakly dependent chains with infinite memory
Cited in
(10)- A Dynamic Taylor’s law
- Stationarity and ergodicity of Markov switching positive conditional mean models
- Nonlinear Poisson autoregression
- Consistency of a nonparametric least squares estimator in integer-valued GARCH models
- 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
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