A new skew integer valued time series process

DOI10.1016/J.STAMET.2016.01.002zbMATH Open1487.62105OpenAlexW2292494552MaRDI QIDQ670104FDOQ670104

Authors: Marcelo Bourguignon, Klaus L. P. Vasconcellos 

Publication date: 18 March 2019

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2016.01.002

Recommendations

• A skew INAR(1) process on \(\mathbb {Z}\)
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• First order non-negative integer valued autoregressive processes with power series innovations
• A generalised NGINAR(1) process with inflated-parameter geometric counting series
• A geometric time series model with dependent Bernoulli counting series

zbMATH Keywords

INAR(1) processinteger-valued time seriesYule-Walker estimatorthinning operator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Title not available (Why is that?)
• Discrete analogues of self-decomposability and stability
• Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Analysis of low count time series data by poisson autoregression
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A non-stationary integer-valued autoregressive model
• Bayesian modelling of football outcomes: using the Skellam's distribution for the goal difference
• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• Thinning operations for modeling time series of counts -- a survey
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• True integer value time series
• Inference for INAR\((p)\) processes with signed generalized power series thinning operator
• A combined geometric \(INAR(p)\) model based on negative binomial thinning
• A p-Order signed integer-valued autoregressive (SINAR(p)) model
• A skew INAR(1) process on \(\mathbb {Z}\)
• First-order rounded integer-valued autoregressive (RINAR(l)) process
• Some geometric mixed integer-valued autoregressive (INAR) models
• A class of discrete distributions arising from difference of two random variables
• On the Poisson difference distribution inference and applications

Cited In (4)

• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Self-exciting threshold -valued autoregressive processes for non-stationary time series of counts

This page was built for publication: A new skew integer valued time series process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q670104)