Interventions in INGARCH processes

DOI10.1111/j.1467-9892.2010.00657.xzbMath1242.62095OpenAlexW2147526900MaRDI QIDQ5391315

Konstantinos Fokianos, Roland Fried

Publication date: 6 April 2011

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

Full work available at URL: http://hdl.handle.net/2003/26360

zbMATH Keywords

outliersgeneralized linear modelsGARCH modelsINGARCH(p,q) modelsparametric bootstrap, transient shift

Mathematics Subject Classification ID

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Uses Software

• R

Cites Work

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• Time series of count data: Modeling, estimation and diagnostics
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• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Integer-Valued GARCH Process
• Intervention Analysis with Applications to Economic and Environmental Problems
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Partial Likelihood Inference For Time Series Following Generalized Linear Models
• Time Series Models Based on Generalized Linear Models: Some Further Results

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