Retrospective Bayesian outlier detection in INGARCH series
DOI10.1007/S11222-013-9437-XzbMATH Open1332.62321OpenAlexW2025987639MaRDI QIDQ5962745FDOQ5962745
Katja Ickstadt, Björn Bornkamp, Inoncent Agueusop, Konstantinos Fokianos, J. Fruth, Roland Fried
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
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Economic time series analysis (91B84)
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- Integer-valued transfer function models for counts that show zero inflation
- Generalized Poisson autoregressive models for time series of counts
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Robust estimation for general integer-valued time series models
- Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
- Multiple values-inflated bivariate INAR time series of counts: featuring zero-one inflated Poisson-Lindly case
- Hysteretic Poisson INGARCH model for integer-valued time series
- On MCMC sampling in self-exciting integer-valued threshold time series models
- Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
- Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
- A robust approach for testing parameter change in Poisson autoregressive models
Uses Software
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