Statistical inference for self-exciting threshold INAR processes with missing values

DOI10.1007/S40304-021-00275-2MaRDI QIDQ6084121zbMATH OpenFDO

Authors Han Yan, Dehui Wang

Publication date 31 October 2023

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S40304-021-00275-2

zbMATH Keywords

imputationinteger-valued threshold modelsmissing dataSETINAR process

Mathematics Subject Classification ID

Missing data (62D10) Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
• A study for missing values in PINAR(1)\(_T\) processes
• A threshold stochastic volatility model with explanatory variables
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Discrete analogues of self-decomposability and stability
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• Inference and missing data
• Integer-valued autoregressive processes with periodic structure
• Integer-valued self-exciting threshold autoregressive processes
• Nested sub-sample search algorithm for estimation of threshold models
• Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Thinning-based models in the analysis of integer-valued time series: a review
• Threshold models for integer-valued time series with infinite or finite range
• Treating missing values in INAR(1) models: An application to syndromic surveillance data

Cited in

(3)

• On MCMC sampling in self-exciting integer-valued threshold time series models
• Efficient estimation in semiparametric self-exciting threshold INAR processes
• Multivariate threshold integer-valued autoregressive processes with explanatory variables

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