Markov-switching Poisson generalized autoregressive conditional heteroscedastic models

DOI10.4310/22-SII741OpenAlexW4365808072MaRDI QIDQ6073477

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

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

geometric ergodicitycount time seriesMarkov regime switchinggeneralized conditional heteroscedasticitygmoothingPoisson GARCH

Mathematics Subject Classification ID

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

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