Self-excited hysteretic negative binomial autoregression

DOI10.1007/s10182-019-00360-6zbMath1457.62270OpenAlexW2998292166MaRDI QIDQ2218622

Mengya Liu, Qi Li, Fukang Zhu

Publication date: 15 January 2021

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10182-019-00360-6

zbMATH Keywords

threshold modeltime series of countsnegative binomialhysteretic autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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