Hysteretic Poisson INGARCH model for integer-valued time series

DOI10.1177/1471082X17703855MaRDI QIDQ5142183OpenAlexFDO

Authors Buu-Chau Truong, Cathy W. S. Chen, Songsak Sriboonchitta

Publication date 30 December 2020

Published in Statistical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1177/1471082x17703855

zbMATH Keywords

hysteresisMarkov chain Monte Carlotime series of countsover-dispersionPoisson INGARCH modelthreshold Poisson INGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A model for integer-valued time series with conditional overdispersion
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• Bayesian Measures of Model Complexity and Fit
• Equation of state calculations by fast computing machines
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• Hysteretic autoregressive time series models
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Interventions in log-linear Poisson autoregression
• Minimum density power divergence estimator for Poisson autoregressive models
• Model selection of a switching mechanism for financial time series
• Monte Carlo sampling methods using Markov chains and their applications
• On double hysteretic heteroskedastic model
• Retrospective Bayesian outlier detection in INGARCH series
• Self-excited threshold Poisson autoregression
• Self-exciting threshold binomial autoregressive processes
• Threshold models in non-linear time series analysis

Cited in

(13)

• Self-excited hysteretic negative binomial autoregression
• Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
• Self-exciting hysteretic binomial autoregressive processes
• On a buffered threshold autoregressive stochastic volatility model
• Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
• Stationary count time series models
• Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• Penalized empirical likelihood inference for the GINAR(p) model
• Threshold negative binomial autoregressive model

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