Bayesian causality test for integer-valued time series models with applications to climate and crime data

DOI10.1111/RSSC.12200MaRDI QIDQ6645797

Cathy W. S. Chen, Sangyeol Lee

Publication date: 29 November 2024

Published in: Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carlo methodGranger causality testposterior odds ratioconcurrent linear relationshipnegative binomial integer-valued generalized auto-regressive conditional heteroscedasticity modelPoisson integer-valued generalized auto-regressive conditional heteroscedasticity model

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Related Items (5)

On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes ⋮ Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function ⋮ Bayesian log-linear beta-negative binomial integer-valued GARCH model ⋮ Bayesian Forecasting of Many Count-Valued Time Series ⋮ Long-memory log-linear zero-inflated generalized Poisson autoregression for COVID-19 pandemic modeling

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