Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.spl.2016.11.002
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009.
"Poisson Autoregression,"
Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, Department of Economics and Business Economics, Aarhus University.
- William Kengne & Paul Doukhan, 2015. "Inference and testing for structural change in general Poisson autoregressive models," Post-Print hal-02979913, HAL.
- Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
- Richard A. Davis & Rongning Wu, 2009. "A negative binomial model for time series of counts," Biometrika, Biometrika Trust, vol. 96(3), pages 735-749.
- 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.
- Ahmad, Ali & Francq, Christian, 2014. "Poisson qmle of count time series models," MPRA Paper 59804, University Library of Munich, Germany.
- Ali Ahmad & Christian Francq, 2015. "Poisson QMLE of Count Time Series Models," Post-Print hal-01533548, HAL.
- Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
- Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
- Paul Doukhan & William Kengne, 2015. "Inference and testing for structural change in general Poisson autoregressive models," Post-Print hal-02979929, HAL.
- Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
- René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer‐Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
- Fukang Zhu, 2011. "A negative binomial integer‐valued GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 54-67, January.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Johannes Bracher & Leonhard Held, 2021. "A marginal moment matching approach for fitting endemic‐epidemic models to underreported disease surveillance counts," Biometrics, The International Biometric Society, vol. 77(4), pages 1202-1214, December.
- Qi Li & Fukang Zhu, 2020. "Mean targeting estimator for the integer-valued GARCH(1, 1) model," Statistical Papers, Springer, vol. 61(2), pages 659-679, April.
- Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.
- Jiménez-Gamero, M.D. & Alba-Fernández, M.V., 2019. "Testing for the Poisson–Tweedie distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 164(C), pages 146-162.
- Byungsoo Kim & Sangyeol Lee, 2020. "Robust estimation for general integer-valued time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1371-1396, December.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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.
- Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos, 2020. "On an integer-valued stochastic intensity model for time series of counts," MPRA Paper 105406, University Library of Munich, Germany.
- William Kengne & Isidore S. Ngongo, 2022. "Inference for nonstationary time series of counts with application to change-point problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 801-835, August.
- Byungsoo Kim & Sangyeol Lee, 2020. "Robust estimation for general integer-valued time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1371-1396, December.
- Aknouche, Abdelhakim & Bentarzi, Wissam & Demouche, Nacer, 2017. "On periodic ergodicity of a general periodic mixed Poisson autoregression," MPRA Paper 79650, University Library of Munich, Germany.
- Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
- Mamadou Lamine Diop & William Kengne, 2017. "Testing Parameter Change in General Integer-Valued Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 880-894, November.
- Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
- Aknouche, Abdelhakim & Dimitrakopoulos, Stefanos & Touche, Nassim, 2019. "Integer-valued stochastic volatility," MPRA Paper 91962, University Library of Munich, Germany, revised 04 Feb 2019.
- Aknouche, Abdelhakim & Bentarzi, Wissam & Demouche, Nacer, 2018. "On periodic ergodicity of a general periodic mixed Poisson autoregression," Statistics & Probability Letters, Elsevier, vol. 134(C), pages 15-21.
- Huiyu Mao & Fukang Zhu & Yan Cui, 2020. "A generalized mixture integer-valued GARCH model," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(3), pages 527-552, September.
- Weiß, Christian H. & Zhu, Fukang, 2024. "Conditional-mean multiplicative operator models for count time series," Computational Statistics & Data Analysis, Elsevier, vol. 191(C).
- 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.
- Yan Cui & Fukang Zhu, 2018. "A new bivariate integer-valued GARCH model allowing for negative cross-correlation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(2), pages 428-452, June.
- 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.
- Paul Doukhan & Konstantinos Fokianos & Joseph Rynkiewicz, 2021. "Mixtures of Nonlinear Poisson Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 107-135, January.
- Xinyang Wang & Dehui Wang & Kai Yang, 2021. "Integer-valued time series model order shrinkage and selection via penalized quasi-likelihood approach," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 713-750, July.
- Mamadou Lamine Diop & William Kengne, 2023. "A general procedure for change-point detection in multivariate time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 1-33, March.
- Aknouche, Abdelhakim & Francq, Christian, 2021.
"Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders,"
Econometric Theory, Cambridge University Press, vol. 37(2), pages 248-280, April.
- Aknouche, Abdelhakim & Francq, Christian, 2018. "Count and duration time series with equal conditional stochastic and mean orders," MPRA Paper 90838, University Library of Munich, Germany.
More about this item
Keywords
Observation-driven models; One-parameter exponential family; INGARCH(p; q) models; Time series of counts;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:123:y:2017:i:c:p:193-201. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.