Diagnostic checking integer-valued ARCH(p) models using conditional residual autocorrelations

DOI10.1016/J.CSDA.2009.09.019zbMATH Open1464.62200OpenAlexW2008779124MaRDI QIDQ962278FDOQ962278

Authors: Fukang Zhu, Dehui Wang 

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.09.019

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Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited In (26)

• A model for integer-valued time series with conditional overdispersion
• Diagnostic checks for integer-valued autoregressive models using expected residuals
• Testing the compounding structure of the CP-INARCH model
• Corrigendum to: ``On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
• Estimation and testing for a Poisson autoregressive model
• Doubly-inflated Poisson INGARCH models for count time series
• Modeling time series of counts with COM-Poisson INGARCH models
• Integer-valued moving average models with structural changes
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model
• Monitoring parameter shift with Poisson integer-valued GARCH models
• Phase II monitoring of autocorrelated attributed social networks based on generalized estimating equations
• The INARCH(1) model for overdispersed time series of counts
• Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
• Diagnostic checks in time series models based on a new correlation coefficient of residuals
• Detecting overdispersion in INARCH(1) processes
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• A negative binomial integer-valued GARCH model
• Empirical likelihood for linear and log-linear INGARCH models
• INARCH(1) processes: Higher-order moments and jumps
• Testing the dispersion structure of count time series using Pearson residuals
• Bivariate binomial autoregressive models
• Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation
• Goodness‐of‐fit tests for Poisson count time series based on the Stein–Chen identity
• Influence diagnostics in log-linear integer-valued GARCH models
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• A mixture integer-valued ARCH model

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