The INARCH(1) Model for Overdispersed Time Series of Counts

DOI10.1080/03610918.2010.490317zbMath1204.62161OpenAlexW2132620360MaRDI QIDQ3590004

Christian H. Weiß

Publication date: 17 September 2010

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2010.490317

zbMATH Keywords

overdispersionsimultaneous confidence intervalsINGARCH modelcontrol chartsACP ModelPoisson-Charlier expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Point estimation (62F10) Applications of statistics in engineering and industry; control charts (62P30) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (33)

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Cites Work

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• Modelling time series of counts with overdispersion
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• Time series of count data: Modeling, estimation and diagnostics
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• Asymptotic properties of CLS estimators in the Poisson AR(1) model
• Poisson Autoregression
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Integer-Valued GARCH Process
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• On modelling overdispersion of counts
• An approach to the probability distribution of cusum run length

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