Beta–Negative Binomial Auto-Regressions for Modelling Integer-Valued Time Series with Extreme Observations

DOI10.1111/RSSB.12394MaRDI QIDQ5087177zbMATH OpenOpenAlexFDO

Authors Paolo Gorgi

Publication date 8 July 2022

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.02929

zbMATH Keywords

heavy-tailed distributionsinteger-valued time seriesobservation-driven modelsrobust filtering

Mathematics Subject Classification ID

Statistics (62-XX)

Cited in

(17)

• Observation-driven models for discrete-valued time series
• Softplus beta negative binomial integer-valued GARCH model
• Beta-negative binomial nonlinear spatio-temporal random effects modeling of COVID-19 case counts in Japan
• A multiplicative thinning‐based integer‐valued GARCH model
• A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application
• BNB autoregressions for modeling integer-valued time series with extreme observations
• A multivariate heavy-tailed integer-valued GARCH process with EM algorithm-based inference
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• Unobserved component models, approximate filters and dynamic adaptive mixture models
• Bivariate first-order random coefficient integer-valued autoregressive processes based on modified negative binomial operator
• Threshold integer-valued autoregressive model with serially dependent innovation
• A flexible model for time series of counts with overdispersion or underdispersion, zero-inflation and heavy-tailedness
• Local influence analysis in the softplus INGARCH model
• Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs
• Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models
• Implicit score-driven filters for time-varying parameter models
• Testing Linearity for Network Autoregressive Models

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