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Modelling nonlinear count time series with local mixtures of Poisson autoregressions

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  • Carvalho, Alexandre X.
  • Tanner, Martin A.

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  • Carvalho, Alexandre X. & Tanner, Martin A., 2007. "Modelling nonlinear count time series with local mixtures of Poisson autoregressions," Computational Statistics & Data Analysis, Elsevier, vol. 51(11), pages 5266-5294, July.
    • Handle: RePEc:eee:csdana:v:51:y:2007:i:11:p:5266-5294
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    1. Newey, Whitney K, 1991. "Uniform Convergence in Probability and Stochastic Equicontinuity," Econometrica, Econometric Society, vol. 59(4), pages 1161-1167, July.
    2. Eric Ghysels & Robert E. McCulloch & Ruey S. Tsay, 1998. "Bayesian inference for periodic regime-switching models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(2), pages 129-143.
    3. Hendry, David F., 1995. "Dynamic Econometrics," OUP Catalogue, Oxford University Press, number 9780198283164.
    4. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, September.
    5. Akaike, Hirotugu, 1981. "Likelihood of a model and information criteria," Journal of Econometrics, Elsevier, vol. 16(1), pages 3-14, May.
    6. Lai T.L. & Po-Shing Wong S., 2001. "Stochastic Neural Networks With Applications to Nonlinear Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 968-981, September.
    7. Sally A. Wood, 2002. "Bayesian mixture of splines for spatially adaptive nonparametric regression," Biometrika, Biometrika Trust, vol. 89(3), pages 513-528, August.
    8. 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.
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    Cited by:

    1. 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.

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