Hysteretic Poisson INGARCH model for integer-valued time series

DOI10.1177/1471082X17703855MaRDI QIDQ5142183zbMATH OpenOpenAlexFDO

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 Carloover-dispersionPoisson INGARCH modelthreshold Poisson INGARCH modeltime series of counts

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• 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

(20)

• Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
• Self-excited hysteretic negative binomial autoregression
• Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Threshold negative binomial autoregressive model
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Penalized empirical likelihood inference for the GINAR(p) model
• A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models
• Bayesian log-linear beta-negative binomial integer-valued GARCH model
• Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
• Self-exciting hysteretic binomial autoregressive processes
• On a buffered threshold autoregressive stochastic volatility model
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• Stationary count time series models
• On bivariate self-exciting hysteretic integer-valued autoregressive processes
• Self-excited threshold Poisson autoregressive model with covariables
• Bayesian quantile inference and order shrinkage for hysteretic quantile autoregressive models
• BRC-GARCH-X model: the empirical evidence in stock returns
• Local influence analysis in the softplus INGARCH model
• An MCMC algorithm for bounded count time series hysteretic models with an application to disease infection
• Self-excited hysteretic integer-valued autoregressive processes

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