Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model

DOI10.1214/20-BJPS473zbMath1478.62249OpenAlexW3156786306MaRDI QIDQ2233662

Fukang Zhu, Yan Cui, Qi Li

Publication date: 11 October 2021

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/20-bjps473

zbMATH Keywords

Skellam\(\mathbb{Z}\)-valued time series\(0\) and \(\pm 1\) inflationsINGARCH processesmodified Skellam

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (4)

A new GJR‐GARCH model for ℤ‐valued time series ⋮ Seasonal count time series ⋮ A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application ⋮ \( \mathbb{Z} \)-valued time series: models, properties and comparison

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