Self-exciting threshold models for time series of counts with a finite range

DOI10.1080/15326349.2015.1085319zbMath1345.60080OpenAlexW2297467798MaRDI QIDQ2803404

Tobias A. Möller

Publication date: 4 May 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2015.1085319

zbMATH Keywords

parameter estimationzero-inflationcount data time seriesbinomial INARCH(1) modelself-exciting threshold

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (7)

Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning ⋮ First-order binomial autoregressive processes with Markov-switching coefficients ⋮ A model of discrete random walk with history-dependent transition probabilities ⋮ A threshold mixed count time series model: estimation and application ⋮ Threshold autoregression analysis for finite-range time series of counts with an application on measles data ⋮ First-order random coefficients integer-valued threshold autoregressive processes ⋮ An extension of Hawkes processes with ephemeral nearest effects

Cites Work

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• BINOMIAL AUTOREGRESSIVE PROCESSES WITH DENSITY-DEPENDENT THINNING
• Zero‐Modified Geometric INAR(1) Process for Modelling Count Time Series with Deflation or Inflation of Zeros
• Zero-Inflated Poisson Models and C.A.MAN: A Tutorial Collection of Evidence
• Zero‐Inflated Poisson and Binomial Regression with Random Effects: A Case Study
• Self-Excited Threshold Poisson Autoregression

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