Markov-switching Poisson generalized autoregressive conditional heteroscedastic models

DOI10.4310/22-SII741MaRDI QIDQ6073477zbMATH OpenOpenAlexFDO

Authors Ji-Chun Liu, Yue Pan, Jiazhu Pan, Abdullah M. Almarashi

Publication date 16 September 2023

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/22-sii741

zbMATH Keywords

count time seriesgeneralized conditional heteroscedasticitygeometric ergodicitygmoothingMarkov regime switchingPoisson GARCH

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Statistics (62-XX) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cited in

(3)

• On some properties of autoregressive conditional Poisson (ACP) models
• Markov Poisson regression models for discrete time series. Part 2: Applications
• Markov-switching generalized additive models

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