Statistical inference for the binomial autoregressive model with time-varying parameters

DOI10.1007/S00184-025-00991-7MaRDI QIDQ6917749zbMATH OpenFDO

Authors Rui Zhang, Xiaogang Dong

Publication date 13 October 2025

Published in Metrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00184-025-00991-7

zbMATH Keywords

binomial autoregressive modelcount time seriesparameter estimationtime-varying parameter

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Absolute regularity and ergodicity of Poisson count processes
• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
• Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
• Diagnosing and modeling extra-binomial variation for time-dependent counts
• Discrete analogues of self-decomposability and stability
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations
• Generalized autoregressive score models based on sinh-arcsinh distributions for time series analysis
• Information-theoretic optimality of observation-driven time series models for continuous responses
• Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation
• Kalman Filtering with Random Coefficients and Contractions
• Markov chains and stochastic stability
• Note on the Consistency of the Maximum Likelihood Estimate
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Relations between Weak and Uniform Convergence of Measures with Applications
• Two classes of dynamic binomial integer-valued ARCH models

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