Zero-modified count time series with Markovian intensities

DOI10.1016/j.jspi.2023.07.006zbMath1522.62082arXiv2107.01813OpenAlexW4385566845MaRDI QIDQ6076568

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Publication date: 17 October 2023

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.01813

zbMATH Keywords

estimating functionzero-inflationgeneralized Kalman filterparameter-driven modelszero-deflationstochastic conditional duration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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