On MCMC sampling in self-exciting integer-valued threshold time series models (Q2076110)

scientific article; zbMATH DE number 7476343

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English	On MCMC sampling in self-exciting integer-valued threshold time series models	scientific article; zbMATH DE number 7476343

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instance of

scholarly article

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title

On MCMC sampling in self-exciting integer-valued threshold time series models (English)

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Computational Statistics and Data Analysis

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publication date

18 February 2022

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zbMATH Keywords

integer-valued time series

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threshold autoregressive model

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Bayesian inference

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MCMC sampling

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latent variables

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describes a project that uses

Bolstad

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1016/j.csda.2021.107410

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cites work

FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

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An integer-valued pth-order autoregressive structure (INAR(p)) process

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Bayesian nonparametric forecasting for INAR models

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Introduction to Bayesian Statistics

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Q5663204

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GENERALIZED INTEGER-VALUED AUTOREGRESSION

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Generalized Poisson autoregressive models for time series of counts

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Count Time Series: A Methodological Review

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Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models

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Exact and approximate Bayesian inference for low integer-valued time series models with intractable likelihoods

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THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL

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True integer value time series

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Retrospective Bayesian outlier detection in INGARCH series

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Inference from iterative simulation using multiple sequences

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Integer autoregressive models with structural breaks

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Q4219536

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Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes

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First-order random coefficients integer-valued threshold autoregressive processes

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Deviance information criterion for latent variable models and misspecified models

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Markov chains and stochastic stability

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Poisson-Lindley INAR(1) model with applications

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Self-exciting threshold binomial autoregressive processes

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Integer-Valued Self-Exciting Threshold Autoregressive Processes

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MCMC for Integer-Valued ARMA processes

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Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation

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Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion

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Thinning-based models in the analysis of integer-valued time series: a review

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Bayesian Measures of Model Complexity and Fit

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The Deviance Information Criterion: 12 Years on

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Discrete analogues of self-decomposability and stability

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Self-Excited Threshold Poisson Autoregression

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Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning

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Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts

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Threshold autoregression analysis for finite-range time series of counts with an application on measles data

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Random coefficients integer-valued threshold autoregressive processes driven by logistic regression

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An integer-valued threshold autoregressive process based on negative binomial thinning

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Identifiers

Mathematics Subject Classification ID

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10.1016/J.CSDA.2021.107410

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Sitelinks

Mathematics(1 entry)

mardi Publication:2076110