Stationary Time Series Models with Exponential Dispersion Model Margins

DOI10.1239/JAP/1032192553MaRDI QIDQ4393827zbMATH OpenOpenAlexFDO

Authors Bent Jørgensen, Peter X.-K. Song

Publication date 31 January 1999

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1032192553

zbMATH Keywords

autoregressive processconvolution-closed familyinfinite divisibilitymoving average processnonnormal time seriessaddlepoint approximationthinning

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(24)

• Extremes of sub-sampled integer-valued moving average models with heavy-tailed innovations.
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• An introduction to Bent Jørgensen's ideas
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• New properties and representations for members of the power-variance family. II
• Extremes of integer-valued moving average models with exponential type tails
• On the extremal behaviour of generalized periodic sub-sampled moving average models with regularly varying tails
• Extended constructions of stationary autoregressive processes
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Stationary state space models for longitudinal data
• Constructing First Order Stationary Autoregressive Models via Latent Processes
• Time series models with univariate margins in the convolution-closed infinitely divisible class
• Parameter Orthogonality and Bias Adjustment for Estimating Functions
• Thinning-based models in the analysis of integer-valued time series: a review
• Time series analysis of hybrid neurophysiological data and application of mutual information
• Stationary Autoregressive Models via a Bayesian Nonparametric Approach
• On Parameter Estimation for Exponential Dispersion Arma Models
• A review of INMA integer-valued model class, application and further development
• Poisson-Driven Stationary Markov Models
• Generalized Data Thinning Using Sufficient Statistics
• Discrete-valued ARMA processes
• Domains of attraction to Tweedie distributions
• On the stationary version of the generalized hyperbolic ARCH model

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