Bayesian analysis of the p-order integer-valued AR process with zero-inflated Poisson innovations

DOI10.1080/00949655.2020.1754819MaRDI QIDQ5036833zbMATH OpenOpenAlexFDO

Authors Aldo M. Garay, Francyelle L. Medina, Celso Rômulo Barbosa Cabral, Tsung-I Lin

Publication date 23 February 2022

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2020.1754819

zbMATH Keywords

Bayesian estimationcount time seriesMCMC algorithmpredictionZINAR\((p)\)

Mathematics Subject Classification ID

Statistics (62-XX) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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Cited in

(7)

• A maximum likelihood and regenerative bootstrap approach for estimation and forecasting of INAR( p ) processes with zero-inflated innovations
• Bayesian estimation of first-order integer generalized autoregressive models based on the negative binomial thinning operator
• A bivariate zero-inflated integer-valued GARCH model and its application to the weekly number of syphilis cases
• Composite likelihood expectation-maximization algorithm for the first-order multivariate integer-valued autoregressive model with multivariate mixture distributions
• Bayesian analysis of linear regression models with autoregressive symmetrical errors and incomplete data
• Comparison of zero-inflated and hurdle INAR(1) processes for modeling count data
• An MCMC algorithm for bounded count time series hysteretic models with an application to disease infection

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Uses Software

• R

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