Modelling heavy-tailedness in count time series

DOI10.1016/j.apm.2020.02.001zbMath1481.62063OpenAlexW3006284686MaRDI QIDQ2174735

Qi Li, Lianyong Qian, Fukang Zhu

Publication date: 27 April 2020

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2020.02.001

zbMATH Keywords

maximum likelihooddiagnosticsheavy-tailednesscount time series\(h\)-step forecastgeneralized Poisson-inverse Gaussian

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)

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