Order shrinkage and selection for the INGARCH(p,q) model

DOI10.1142/S1793524521500704zbMath1475.92192MaRDI QIDQ5164572

Xin-Yang Wang, De-Hui Wang, Yuan Tian

Publication date: 12 November 2021

Published in: International Journal of Biomathematics (Search for Journal in Brave)

zbMATH Keywords

epidemiologyoracle propertiesINGARCH\((p,q)\) modelpenalized conditional maximum likelihood

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Epidemiology (92D30) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cites Work

• The Adaptive Lasso and Its Oracle Properties
• Modelling time series of counts with overdispersion
• On weak dependence conditions for Poisson autoregressions
• Autoregressive process modeling via the Lasso procedure
• Regularized estimation in GINAR(\(p\)) process
• Some recent theory for autoregressive count time series
• Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure
• Empirical likelihood for linear and log-linear INGARCH models
• Variable selection and estimation for multivariate panel count data via the seamless-${\it L}_{{\rm 0}}$ penalty
• Parameter Change Test for Poisson Autoregressive Models
• Poisson Autoregression
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Integer-Valued GARCH Process
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Regression coefficient and autoregressive order shrinkage and selection via the lasso
• Interventions in INGARCH processes
• Some recent progress in count time series

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