Negative Binomial Autoregressive Process with Stochastic Intensity

DOI10.1111/jtsa.12441zbMath1425.62125OpenAlexW2890589983WikidataQ128761376 ScholiaQ128761376MaRDI QIDQ5382477

Christian Gouriéroux, Yang Lu

Publication date: 17 June 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12441

zbMATH Keywords

Wishart processstochastic intensitycompound autoregressive processautoregressive gammapairwise analysisPoisson-gamma conjugacy

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Markov processes: estimation; hidden Markov models (62M05)

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