Detecting overdispersion in INARCH(1) processes

DOI10.1111/STAN.12059OpenAlexW1905339658MaRDI QIDQ6066206

Sebastian Schweer, Christian H. Weiß

Publication date: 12 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12059

zbMATH Keywords

overdispersionbias correctionindex of dispersionINAR(1) modelINARCH(1) model

Mathematics Subject Classification ID

Parametric inference (62Fxx) Inference from stochastic processes (62Mxx) Statistical distribution theory (62Exx)

Related Items (3)

Local influence analysis for Poisson autoregression with an application to stock transaction data ⋮ Testing for zero inflation and overdispersion in INAR(1) models ⋮ Testing for Poisson arrivals in INAR(1) processes

Cites Work

• Modelling time series of counts with overdispersion
• INARCH(1) processes: Higher-order moments and jumps
• Estimation and testing for a Poisson autoregressive model
• Absolute regularity and ergodicity of Poisson count processes
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Useful models for time series of counts or simply wrong ones?
• A model for integer-valued time series with conditional overdispersion
• Poisson Autoregression
• Integer-Valued GARCH Process
• The INARCH(1) Model for Overdispersed Time Series of Counts
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Univariate Discrete Distributions
• Some Limit Theorems for Stationary Processes

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