On a periodic SETINAR model

DOI10.1080/03610918.2021.1874416OpenAlexW3128468908MaRDI QIDQ6171513

Unnamed Author, Mohamed Bentarzi

Publication date: 18 July 2023

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

Full work available at URL: https://doi.org/10.1080/03610918.2021.1874416

zbMATH Keywords

strict periodic stationarityperiodically correlated integer-valued processperiodic \textit{SETINAR} model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

On periodic integer-valued moving average (INMA (q)) models ⋮ Periodic negative binomial INGARCH(1, 1) model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A mixture integer-valued ARCH model
• Discrete analogues of self-decomposability and stability
• On conditional least squares estimation for stochastic processes
• On periodic and multiple autoregressions
• An integer-valued threshold autoregressive process based on negative binomial thinning
• Integer-valued autoregressive processes with periodic structure
• Nested sub-sample search algorithm for estimation of threshold models
• Integer-Valued Self-Exciting Threshold Autoregressive Processes
• Periodic integer-valued GARCH(1, 1) model
• Periodic integer-valued bilinear time series model
• Statistical Methods in Markov Chains
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Integer-Valued GARCH Process
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• A negative binomial integer-valued GARCH model
• On some periodic INARMA(p,q) models
• On mixture periodic Integer-Valued ARCH models
• Efficient estimation in periodic INAR(1) model: parametric case
• A bivariate INAR(1) process with application

This page was built for publication: On a periodic SETINAR model