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Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model

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  1. Aknouche, Abdelhakim & Almohaimeed, Bader & Dimitrakopoulos, Stefanos, 2020. "Forecasting transaction counts with integer-valued GARCH models," MPRA Paper 101779, University Library of Munich, Germany, revised 11 Jul 2020.
  2. Aknouche, Abdelhakim & Bendjeddou, Sara, 2016. "Negative binomial quasi-likelihood inference for general integer-valued time series models," MPRA Paper 76574, University Library of Munich, Germany, revised 03 Feb 2017.
  3. Aknouche, Abdelhakim & Francq, Christian, 2023. "Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models," Journal of Econometrics, Elsevier, vol. 237(2).
  4. Heinen, Andréas & Rengifo, Erick, 2008. "Multivariate reduced rank regression in non-Gaussian contexts, using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(6), pages 2931-2944, February.
  5. Sun, Yiqun & Ji, Hao & Cai, Xiurong & Li, Jiangchen, 2023. "Joint extreme risk of energy prices-evidence from European energy markets," Finance Research Letters, Elsevier, vol. 56(C).
  6. Daniel L. R. Orozco & Lucas O. F. Sales & Luz M. Z. Fernández & André L. S. Pinho, 2021. "A new mixed first-order integer-valued autoregressive process with Poisson innovations," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(4), pages 559-580, December.
  7. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
  8. Snyder, Ralph D. & Ord, J. Keith & Beaumont, Adrian, 2012. "Forecasting the intermittent demand for slow-moving inventories: A modelling approach," International Journal of Forecasting, Elsevier, vol. 28(2), pages 485-496.
  9. Tianqing Liu & Xiaohui Yuan, 2013. "Random rounded integer-valued autoregressive conditional heteroskedastic process," Statistical Papers, Springer, vol. 54(3), pages 645-683, August.
  10. Aknouche, Abdelhakim & Scotto, Manuel, 2022. "A multiplicative thinning-based integer-valued GARCH model," MPRA Paper 112475, University Library of Munich, Germany.
  11. Weiß, Christian H., 2010. "INARCH(1) processes: Higher-order moments and jumps," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1771-1780, December.
  12. Abdelhakim Aknouche & Stefanos Dimitrakopoulos, 2023. "Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(4), pages 393-417, July.
  13. Christian H. Weiß & Esmeralda Gonçalves & Nazaré Mendes Lopes, 2017. "Testing the compounding structure of the CP-INARCH model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(5), pages 571-603, July.
  14. Dag Tjøstheim, 2012. "Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 413-438, September.
  15. Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
  16. Ben Omrane, Walid & Heinen, Andréas, 2010. "Public news announcements and quoting activity in the Euro/Dollar foreign exchange market," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2419-2431, November.
  17. Jung, Robert & Kukuk, Martin & Liesenfeld, Roman, 2005. "Time Series of Count Data: Modelling and Estimation," Economics Working Papers 2005-08, Christian-Albrechts-University of Kiel, Department of Economics.
  18. Axel Groß‐KlußMann & Nikolaus Hautsch, 2013. "Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(8), pages 724-742, December.
  19. Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2021. "Autoregressive conditional proportion: A multiplicative-error model for (0,1)-valued time series," MPRA Paper 110954, University Library of Munich, Germany, revised 06 Dec 2021.
  20. Abdelhakim Aknouche & Christian Francq, 2022. "Stationarity and ergodicity of Markov switching positive conditional mean models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 436-459, May.
  21. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Naushad Mamode Khan, 2019. "Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework," JRFM, MDPI, vol. 12(2), pages 1-13, April.
  22. Jung, Robert C. & Liesenfeld, Roman & Richard, Jean-François, 2011. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 73-85.
  23. Ben Omrane, Walid & Heinen, Andréas, 2009. "Is there any common knowledge news in the Euro/Dollar market?," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 656-670, October.
  24. GRAMMIG, Joachim & HEINEN, Andréas & RENGIFO, Erick, 2004. "Trading activity and liquidity supply in a pure limit order book market," LIDAM Discussion Papers CORE 2004058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. Ghahramani, M. & Thavaneswaran, A., 2009. "On some properties of Autoregressive Conditional Poisson (ACP) models," Economics Letters, Elsevier, vol. 105(3), pages 273-275, December.
  26. Ali Ahmad & Christian Francq, 2016. "Poisson QMLE of Count Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 291-314, May.
  27. Weiß, Christian H. & Schweer, Sebastian, 2016. "Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 124-130.
  28. BEN OMRANE, Walid & HEINEN, Andréas, 2003. "The response of individual FX dealers'quoting activity to macroeconomic news announcements," LIDAM Discussion Papers CORE 2003070, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  29. Ralph D. Snyder & Gael M. Martin & Phillip Gould & Paul D. Feigin, 2007. "An Assessment of Alternative State Space Models for Count Time Series," Monash Econometrics and Business Statistics Working Papers 4/07, Monash University, Department of Econometrics and Business Statistics.
  30. Christian H. Weiß, 2017. "On Eigenvalues of the Transition Matrix of Some Count-Data Markov Chains," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 997-1007, September.
  31. Luiza S. C. Piancastelli & Wagner Barreto‐Souza & Hernando Ombao, 2023. "Flexible bivariate INGARCH process with a broad range of contemporaneous correlation," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(2), pages 206-222, March.
  32. Christian Weiß, 2009. "Modelling time series of counts with overdispersion," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 507-519, November.
  33. Youngmi Lee & Sangyeol Lee, 2019. "CUSUM test for general nonlinear integer-valued GARCH models: comparison study," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1033-1057, October.
  34. James W. Taylor, 2012. "Density Forecasting of Intraday Call Center Arrivals Using Models Based on Exponential Smoothing," Management Science, INFORMS, vol. 58(3), pages 534-549, March.
  35. Xu, Hai-Yan & Xie, Min & Goh, Thong Ngee & Fu, Xiuju, 2012. "A model for integer-valued time series with conditional overdispersion," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 4229-4242.
  36. Vladim'ir Hol'y & Petra Tomanov'a, 2021. "Modeling Price Clustering in High-Frequency Prices," Papers 2102.12112, arXiv.org, revised Mar 2021.
  37. Mirko Armillotta & Paolo Gorgi, 2023. "Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models," Tinbergen Institute Discussion Papers 23-054/III, Tinbergen Institute.
  38. Peter Congdon, 2022. "A spatio-temporal autoregressive model for monitoring and predicting COVID infection rates," Journal of Geographical Systems, Springer, vol. 24(4), pages 583-610, October.
  39. Heinen, Andreas & Rengifo, Erick, 2007. "Multivariate autoregressive modeling of time series count data using copulas," Journal of Empirical Finance, Elsevier, vol. 14(4), pages 564-583, September.
  40. Giulia Carallo & Roberto Casarin & Christian P. Robert, 2020. "Generalized Poisson Difference Autoregressive Processes," Papers 2002.04470, arXiv.org.
  41. Juan Dolado, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 442-446, September.
  42. Quoreshi, Shahiduzzaman, 2005. "Modelling High Frequency Financial Count Data," Umeå Economic Studies 656, Umeå University, Department of Economics.
  43. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, vol. 54(3), pages 563-590, August.
  44. Dunsmuir, William T. M. & Scott, David J., 2015. "The glarma Package for Observation-Driven Time Series Regression of Counts," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 67(i07).
  45. Mawuli Segnon & Manuel Stapper, 2019. "Long Memory Conditional Heteroscedasticity in Count Data," CQE Working Papers 8219, Center for Quantitative Economics (CQE), University of Muenster.
  46. Robert C. Jung & Roman Liesenfeld & Jean-François Richard, 2011. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 73-85, January.
  47. Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
  48. Aknouche, Abdelhakim & Gouveia, Sonia & Scotto, Manuel, 2023. "Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs," MPRA Paper 119518, University Library of Munich, Germany, revised 18 Dec 2023.
  49. Christian H. Weiß & Sebastian Schweer, 2015. "Detecting overdispersion in INARCH(1) processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 69(3), pages 281-297, August.
  50. Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  51. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
  52. Youngmi Lee & Sangyeol Lee & Dag Tjøstheim, 2018. "Asymptotic normality and parameter change test for bivariate Poisson INGARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 52-69, March.
  53. Feigin, Paul D. & Gould, Phillip & Martin, Gael M. & Snyder, Ralph D., 2008. "Feasible parameter regions for alternative discrete state space models," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2963-2970, December.
  54. Ord, J. Keith & Koehler, Anne B. & Snyder, Ralph D. & Hyndman, Rob J., 2009. "Monitoring processes with changing variances," International Journal of Forecasting, Elsevier, vol. 25(3), pages 518-525, July.
  55. Mamode Khan Naushad & Rumjaun Wasseem & Sunecher Yuvraj & Jowaheer Vandna, 2017. "Computing with bivariate COM-Poisson model under different copulas," Monte Carlo Methods and Applications, De Gruyter, vol. 23(2), pages 131-146, June.
  56. Lee, Sangyeol & Kim, Dongwon & Kim, Byungsoo, 2023. "Modeling and inference for multivariate time series of counts based on the INGARCH scheme," Computational Statistics & Data Analysis, Elsevier, vol. 177(C).
  57. Ralph D. Snyder & Adrian Beaumont, 2007. "A Comparison of Methods for Forecasting Demand for Slow Moving Car Parts," Monash Econometrics and Business Statistics Working Papers 15/07, Monash University, Department of Econometrics and Business Statistics.
  58. Cattivelli, Luca & Pirino, Davide, 2019. "A SHARP model of bid–ask spread forecasts," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1211-1225.
  59. Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, May.
  60. Pedeli, Xanthi & Karlis, Dimitris, 2013. "Some properties of multivariate INAR(1) processes," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 213-225.
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