Random rounded integer-valued autoregressive conditional heteroskedastic process

DOI10.1007/S00362-012-0453-2MaRDI QIDQ2392711zbMATH OpenOpenAlexFDO

Authors Tianqing Liu, Xiaohui Yuan

Publication date 2 August 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-012-0453-2

zbMATH Keywords

count dataconditional varianceconditional meaninteger-valued time seriesrandom rounding operator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• Integer-Valued GARCH Process
• Model Selection for Extended Quasi-Likelihood Models in Small Samples
• Observation-driven models for Poisson counts
• On autocorrelation in a Poisson regression model
• Parameter estimation for generalized random coefficient autoregressive processes
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Cited in

(7)

• On the rounded integer-valued autoregressive process
• Semiparametric integer-valued autoregressive models on \(\mathbb{Z}\)
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Model-based INAR bootstrap for forecasting INAR\((p)\) models
• Mean targeting estimator for the integer-valued GARCH(1, 1) model
• A trinomial difference autoregressive process for the bounded \(\mathbb{Z}\)-valued time series
• Thinning-based models in the analysis of integer-valued time series: a review

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