MCMC for Integer-Valued ARMA processes
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- Jung, Robert C. & Liesenfeld, Roman & Richard, Jean-FranÃ§ois, 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.
- Jung, Robert & Liesenfeld, Roman & Richard, Jean-François, 2008. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Economics Working Papers 2008-12, Christian-Albrechts-University of Kiel, Department of Economics.
- Víctor Enciso-Mora & Peter Neal & T. Subba Rao, 2009. "Efficient order selection algorithms for integer-valued ARMA processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 1-18, January.
- repec:eee:csdana:v:122:y:2018:i:c:p:33-44 is not listed on IDEAS
- David T. Frazier & Worapree Maneesoonthorn & Gael M. Martin & Brendan P.M. McCabe, 2018. "Approximate Bayesian forecasting," Monash Econometrics and Business Statistics Working Papers 2/18, Monash University, Department of Econometrics and Business Statistics.
- Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
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