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

additive outliersgeneralized linear modelstime series of counts

Mathematics Subject Classification ID

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

• A modelling framework for the prices and times of trades made of the New York stock exchange
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• Bayesian forecasting and dynamic models.
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• Computational aspects of fitting mixture models via the expectation-maximization algorithm
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• Exact posterior distributions and model selection criteria for multiple change-point detection problems
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• 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

(14)

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

Describes a project that uses

Uses Software

• R
• R2WinBUGS
• WinBUGS
• BUGS

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