Flexible bivariate Poisson integer-valued GARCH model

DOI10.1007/s10463-019-00732-4zbMath1467.62142OpenAlexW2972361475WikidataQ127233852 ScholiaQ127233852MaRDI QIDQ2027225

Yan Cui, Qi Li, Fukang Zhu

Publication date: 25 May 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-019-00732-4

zbMATH Keywords

Poisson distributiontime series of countsINGARCH modelbivariate distributionmultiplicative factor

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Temporal aggregation and systematic sampling for INGARCH processes, Multivariate generalized linear mixed models for underdispersed count data, A general procedure for change-point detection in multivariate time series, Flexible bivariate INGARCH process with a broad range of contemporaneous correlation, On consistency for time series model selection, \( \mathbb{Z} \)-valued time series: models, properties and comparison, A note on the stability of multivariate non-linear time series with an application to time series of counts, Adaptive log-linear zero-inflated generalized Poisson autoregressive model with applications to crime counts, A Poisson equation-based method for 3D reconstruction of animated images

Uses Software

• R
• TMB

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