Flexible and Robust Mixed Poisson INGARCH Models

DOI10.1111/jtsa.12459zbMath1431.62350OpenAlexW2932053843WikidataQ128122233 ScholiaQ128122233MaRDI QIDQ5237531

Wagner Barreto-Souza, Rodrigo B. Silva

Publication date: 18 October 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12459

zbMATH Keywords

overdispersionstationarityEM-algorithmcount time seriesmixed Poisson distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Non-Markovian processes: estimation (62M09)

Related Items (7)

Softplus INGARCH Model ⋮ Non-linear INAR(1) processes under an alternative geometric thinning operator ⋮ Flexible bivariate INGARCH process with a broad range of contemporaneous correlation ⋮ A multiplicative thinning‐based integer‐valued GARCH model ⋮ Nearly unstable integer‐valued ARCH process and unit root testing ⋮ Modeling \(\mathbb{Z}\)-valued time series based on new versions of the Skellam INGARCH model ⋮ Necessary and sufficient conditions for the identifiability of observation‐driven models

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