Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning

DOI10.1080/03610918.2019.1586929zbMath1497.62248OpenAlexW2922300497WikidataQ128229852 ScholiaQ128229852MaRDI QIDQ5082636

Kai Yang, Xiao-Hong Wang, De-Hui Wang, Da Xu

Publication date: 21 June 2022

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

Full work available at URL: https://doi.org/10.1080/03610918.2019.1586929

zbMATH Keywords

empirical likelihoodnegative binomial thinningnonlinearity testthreshold autoregressive processeschange point autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (9)

On bivariate threshold Poisson integer-valued autoregressive processes ⋮ A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models ⋮ On a periodic negative binomial SETINAR model ⋮ Efficient estimation in semiparametric self-exciting threshold INAR processes ⋮ Random coefficients integer-valued threshold autoregressive processes driven by logistic regression ⋮ On MCMC sampling in self-exciting integer-valued threshold time series models ⋮ First-order random coefficient INAR process with dependent counting series ⋮ Generalized Poisson integer-valued autoregressive processes with structural changes ⋮ A novel multivariable grey prediction model with different accumulation orders and performance comparison

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