Order shrinkage and selection for the INGARCH(p,q) model

DOI10.1142/S1793524521500704MaRDI QIDQ5164572zbMATH OpenFDO

Authors Yuan Tian, Dehui Wang, Xin-Yang Wang

Publication date 12 November 2021

Published in International Journal of Biomathematics (Search for Journal in Brave)

zbMATH Keywords

epidemiologyoracle propertiesINGARCH\((p,q)\) modelpenalized conditional maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Epidemiology (92D30)

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Cites work

• Autoregressive process modeling via the Lasso procedure
• Empirical likelihood for linear and log-linear INGARCH models
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Modelling time series of counts with overdispersion
• On weak dependence conditions for Poisson autoregressions
• Parameter Change Test for Poisson Autoregressive Models
• Poisson autoregression
• Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Regularized estimation in GINAR(\(p\)) process
• Some recent progress in count time series
• Some recent theory for autoregressive count time series
• The Adaptive Lasso and Its Oracle Properties
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Variable selection and estimation for multivariate panel count data via the seamless-\(L_0\) penalty

Cited in

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• Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach

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