A new INARMA(1,1) model with Poisson marginals

DOI10.1007/978-3-030-28665-1_24zbMath1434.62182arXiv1910.07244OpenAlexW2980382721MaRDI QIDQ2179568

Johannes Bracher

Publication date: 13 May 2020

Full work available at URL: https://arxiv.org/abs/1910.07244

zbMATH Keywords

binomial thinningcount time seriesforward algorithmunderreportinginteger-valued GARCHinteger-valued ARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

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