Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts

DOI10.1007/s00180-020-01018-7zbMath1505.62094OpenAlexW3042232470MaRDI QIDQ1995836

Sangyeol Lee, K. Khamthong, Cathy W. S. Chen

Publication date: 25 February 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-01018-7

zbMATH Keywords

hysteresisoverdispersionMCMC methodthreshold modeldengue feverposterior predictive distributionconsecutive zerosinteger-valued GARCH

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Bayesian inference (62F15)

Related Items (1)

Integer-valued transfer function models for counts that show zero inflation

Cites Work

• Threshold models in non-linear time series analysis
• Log-linear Poisson autoregression
• A review of threshold time series models in finance
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• Time series of count data: Modeling, estimation and diagnostics
• Generalized Poisson autoregressive models for time series of counts
• A model for integer-valued time series with conditional overdispersion
• Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Hysteretic autoregressive time series models
• Integer-Valued GARCH Process
• Zero-Inflated Poisson Regression, with an Application to Defects in Manufacturing
• Bayesian Measures of Model Complexity and Fit
• Asymptotic Inference for Mixture Models by Using Data-Dependent Priors
• Self-Excited Threshold Poisson Autoregression
• A negative binomial integer-valued GARCH model
• Hysteretic Poisson INGARCH model for integer-valued time series
• On double hysteretic heteroskedastic model
• Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models
• First‐order integer valued AR processes with zero inflated poisson innovations
• Asymmetric response and interaction of U.S. and local news in financial markets
• Parameter change test for zero-inflated generalized Poisson autoregressive models

This page was built for publication: Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts