Retrospective Bayesian outlier detection in INGARCH series

DOI10.1007/S11222-013-9437-XMaRDI QIDQ5962745zbMATH OpenOpenAlexFDO

Authors Roland Fried, Inoncent Agueusop, Björn Bornkamp, Konstantinos Fokianos, J. Fruth, Katja Ickstadt

Publication date 23 February 2016

Published in Statistics and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11222-013-9437-x

zbMATH Keywords

time series of countsgeneralized linear modelsadditive outliers

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Economic time series analysis (91B84)

Recommendations

• Interventions in INGARCH processes
• Robust fitting of INARCH models
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• Additive outliers in INAR(1) models
• Modelling interventions in INGARCH processes

Cites work

• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
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• Detection of outlier patches in autoregressive time series
• Exact posterior distributions and model selection criteria for multiple change-point detection problems
• Generalized autoregressive conditional heteroscedasticity
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• MCMC using Hamiltonian dynamics
• On weak dependence conditions for Poisson autoregressions
• Outliers and GARCH models in financial data
• Poisson autoregression
• Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions
• Some recent progress in count time series
• Stochastic volatility models with leverage and heavy-tailed distributions: a Bayesian approach using scale mixtures
• The Identification of Multiple Outliers
• The Wang-Landau algorithm in general state spaces: applications and convergence analysis

Cited in

(12)

• Hysteretic Poisson INGARCH model for integer-valued time series
• Robust estimation for general integer-valued time series models
• A robust approach for testing parameter change in Poisson autoregressive models
• Interventions in INGARCH processes
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• On MCMC sampling in self-exciting integer-valued threshold time series models
• Multiple values-inflated bivariate INAR time series of counts: featuring zero-one inflated Poisson-Lindly case
• Integer-valued transfer function models for counts that show zero inflation
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• Generalized Poisson autoregressive models for time series of counts
• Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies

Describes a project that uses

Uses Software

• R
• WinBUGS
• R2WinBUGS
• BUGS

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