Variable selection for an improved INAR(1) model with explanatory variables using 2SPCLS

DOI10.1214/23-bjps578OpenAlexW4388930941MaRDI QIDQ6179288

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Publication date: 16 January 2024

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/23-bjps578

zbMATH Keywords

variable selectiontime-series analysisinteger-valued autoregressivetwo-step conditional least squares

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Unnamed Item
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• Some ARMA models for dependent sequences of poisson counts
• Sufficient conditions for regularity, recurrence and ergodicity of Markov processes
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Variable selection for first‐order Poisson integer‐valued autoregressive model with covariables