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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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    References listed on IDEAS

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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 9780521632423.
    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. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809.
    8. Sally A. Wood, 2002. "Bayesian mixture of splines for spatially adaptive nonparametric regression," Biometrika, Biometrika Trust, vol. 89(3), pages 513-528, August.
    9. 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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