Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression

DOI10.1007/s00180-022-01253-0OpenAlexW4284993860WikidataQ114231235 ScholiaQ114231235MaRDI QIDQ6177011

G. Tzougas, Zezhun Chen, Angelos Dassios

Publication date: 29 August 2023

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-022-01253-0

zbMATH Keywords

maximum likelihood estimationcount data time seriescorrelated time seriesmultivariate INAR(1) regression modelsmultivariate mixed Poisson-generalized inverse Gaussian

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites Work

• Unnamed Item
• Unnamed Item
• A bivariate INAR(1) model with different thinning parameters
• Sarmanov family of multivariate distributions for bivariate dynamic claim counts model
• A geometric bivariate time series with different marginal parameters
• A bivariate \(INAR(1)\) time series model with geometric marginals
• Multivariate negative binomial models for insurance claim counts
• Allowing for time and cross dependence assumptions between claim counts in ratemaking models
• Multivariate count data generalized linear models: three approaches based on the Sarmanov distribution
• A finite mixture of bivariate Poisson regression models with an application to insurance ratemaking
• Thinning operations for modeling time series of counts -- a survey
• Bayesian multivariate Poisson models for insurance ratemaking
• Multivariate modelling of multiple guarantees in motor insurance of a household
• Tests for independence in a bivariate negative binomial model
• The multivariate mixed negative binomial regression model with an application to insurance a posteriori ratemaking
• Estimation in a bivariate integer-valued autoregressive process
• On composite likelihood estimation of a multivariate INAR(1) model
• Inference for Sichel's Compound Poisson Distribution
• Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
• The Multivariate Ginar(p) Process
• A posteriori ratemaking using bivariate Poisson models
• Longitudinal modeling of insurance claim counts using jitters
• An Introduction to Discrete‐Valued Time Series
• Analysis of low count time series data by poisson autoregression
• MULTIVARIATE MODELLING OF HOUSEHOLD CLAIM FREQUENCIES IN MOTOR THIRD-PARTY LIABILITY INSURANCE
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• On Estimation of the Bivariate Poisson INAR Process
• Flexible Bivariate INAR(1) Processes Using Copulas
• Thinning-based models in the analysis of integer-valued time series: a review
• A CLASS OF MIXTURE OF EXPERTS MODELS FOR GENERAL INSURANCE: APPLICATION TO CORRELATED CLAIM FREQUENCIES
• A bivariate INAR(1) process with application
• Bivariate Mixed Poisson Regression Models with Varying Dispersion

This page was built for publication: Multivariate mixed Poisson generalized inverse Gaussian INAR(1) regression