An integer-valued analogue of the classical generalized autoregressive conditional heteroskedastic (GARCH) ( p , q ) model with Poisson deviates is proposed and a condition for the existence of such a process is given. For the case p = 1, q = 1, it is explicitly shown that an integer-...
We consider the integer valued GARCH(1,1) process defined by the two equation system Yn similar to dPoisson(lambda n) and lambda(n + 1) = omega + alpha Y-n + beta lambda(n). When alpha + beta < 1 this process has a stationary solution and properties are well understood. In this...
We propose signed compound Poisson integer-valued GARCH processes for the modeling of the difference of count time series data. We investigate the theoretical properties of these processes and we state their ergodicity and stationarity under mild conditions. We discuss the conditional maximum likelihood ...
PortugalWeproposeaninteger-valuedstochasticprocesswithconditionalmarginaldistributionbelongingtotheclassofinfinitelydivisiblediscreteprobabilitylaws.Withthisproposal,weintroduceawideclassofmodelsforcounttimeseriesthatincludesthePoissoninteger-valuedgeneralizedautoregressiveconditionalheteroscedastic(INGARCH)model(Ferlandetal.,...
Zero-inflated Poisson and negative binomial integer-valued GARCH models - ScienceDirect Zero inflation means that the proportion of 0's of a model is greater than the proportion of 0's of the corresponding Poisson model, which is a common phen... F Zhu - 《Journal of Statistical Planning &...
On bivariate threshold Poisson integer-valued autoregressive processes 2023, Metrika Bivariate random coefficient integer-valued autoregressive models: Parameter estimation and change point test 2023, Journal of Time Series Analysis Flexible bivariate INGARCH process with a broad range of contemporaneous correla...
MCMC based Estimation of MS-ARMA-GARCH Models They can account for sudden changes in the structure of the mean or the variance of a process and give a straightforward interpretation of these shifts. Such shifts would cause regular ARMA-GARCH models to imply non-stationary processes... J. Henne...
顶/踩数: 0/0 收藏人数: 1 评论次数: 0 文档热度: 文档分类: 待分类 系统标签: garchvaluedintegerdiagnosticslinearlog AStAAdvStatAnalDOI10.1007/s10182-014-0242-4ORIGINALPAPERInfluencediagnosticsinlog-linearinteger-valuedGARCHmodelsFukangZhu·LeiShi·ShuangzheLiuReceived:29May2013/Accepted:7November2014...
Integer-valued GARCH process. J. Time Ser. Anal., 27, 923– 942. Google Scholar Crossref WorldCat Field, S. ( 1992) The effect of temperature on crime. Br. J. Criminol., 32, 340– 351. Google Scholar Crossref WorldCat Fokianos, K., Rahbek, A. and Tjøstheim...
This study proposes a class of nonlinear hysteretic integer-valued GARCH models in order to describe the occurrence of weekly dengue hemorrhagic fever cases via three meteorological covariates:...doi:10.1007/s00180-020-01018-7Cathy W. S. Chen...