Some recent theory for autoregressive count time series
Author
Abstract
Suggested Citation
DOI: 10.1007/s11749-012-0296-0
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
- 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.
- 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.
- Meitz, Mika & Saikkonen, Pentti, 2008.
"Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models,"
Econometric Theory, Cambridge University Press, vol. 24(5), pages 1291-1320, October.
- Meitz, Mika & Saikkonen, Pentti, 2004. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," SSE/EFI Working Paper Series in Economics and Finance 573, Stockholm School of Economics, revised 20 Apr 2007.
- Mika Meitz & Pentti Saikkonen & University of Helsinki, 2007. "Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models," Economics Series Working Papers 327, University of Oxford, Department of Economics.
- 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.
- 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.
- Jensen, Søren Tolver & Rahbek, Anders, 2004. "Asymptotic Inference For Nonstationary Garch," Econometric Theory, Cambridge University Press, vol. 20(6), pages 1203-1226, December.
- Hans Jensen, 2004. "Review Essay," Review of Social Economy, Taylor & Francis Journals, vol. 62(1), pages 101-112.
- Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008.
"Note on integer-valued bilinear time series models,"
Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June.
- Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007. "Note on Integer-Valued Bilinear Time Series Models," Discussion Paper 2007-47, Tilburg University, Center for Economic Research.
- Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2007. "Note on Integer-Valued Bilinear Time Series Models," Other publications TiSEM 4eb72bc4-4b8b-45a9-b97c-7, Tilburg University, School of Economics and Management.
- Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008. "Note on integer-valued bilinear time series models," Other publications TiSEM aaf4f3fe-f141-4784-89b5-0, Tilburg University, School of Economics and Management.
- Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(3), pages 319-341, August.
- Yunwei Cui & Robert Lund, 2009. "A new look at time series of counts," Biometrika, Biometrika Trust, vol. 96(4), pages 781-792.
- Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
- Terasvirta, Timo & Tjostheim, Dag & Granger, Clive W. J., 2010. "Modelling Nonlinear Economic Time Series," OUP Catalogue, Oxford University Press, number 9780199587155.
- Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, May.
- Brendan P.M. McCabe & Gael M. Martin & David Harris, 2009. "Optimal Probabilistic Forecasts for Counts," Monash Econometrics and Business Statistics Working Papers 7/09, Monash University, Department of Econometrics and Business Statistics.
- Heinen, Andreas, 2003.
"Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model,"
MPRA Paper
8113, University Library of Munich, Germany.
- HEINEN, Andréas, 2003. "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE 2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- 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.
- Pham, Tuan D. & Tran, Lanh T., 1985. "Some mixing properties of time series models," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 297-303, April.
- 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.
- HEINEN, Andreas & RENGIFO, Erick, 2003. "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE 2003025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Chao Wang & Wai Keung Li, 2011. "On the autopersistence functions and the autopersistence graphs of binary autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 639-646, November.
- Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
- Claudia Czado & Tilmann Gneiting & Leonhard Held, 2009. "Predictive Model Assessment for Count Data," Biometrics, The International Biometric Society, vol. 65(4), pages 1254-1261, December.
- Feike C. Drost & Ramon van den Akker & Bas J. M. Werker, 2009. "Efficient estimation of auto‐regression parameters and innovation distributions for semiparametric integer‐valued AR(p) models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 71(2), pages 467-485, April.
- Konstantinos Fokianos & Benjamin Kedem, 2004. "Partial Likelihood Inference For Time Series Following Generalized Linear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 173-197, March.
- 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.
- Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
- Sandmann, Gleb & Koopman, Siem Jan, 1998. "Estimation of stochastic volatility models via Monte Carlo maximum likelihood," Journal of Econometrics, Elsevier, vol. 87(2), pages 271-301, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Douc, R. & Doukhan, P. & Moulines, E., 2013. "Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2620-2647.
- Šárka Hudecová & Marie Hušková & Simos G. Meintanis, 2017. "Tests for Structural Changes in Time Series of Counts," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(4), pages 843-865, December.
- Pedro H. C. Sant’Anna, 2017.
"Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
- Sant'Anna, Pedro H. C., 2013. "Testing for Uncorrelated Residuals in Dynamic Count Models with an Application to Corporate Bankruptcy," MPRA Paper 48376, University Library of Munich, Germany.
- Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.
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.- 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.
- 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).
- Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, May.
- 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.
- 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.
- Jiwon Kang & Sangyeol Lee, 2014. "Parameter Change Test for Poisson Autoregressive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 1136-1152, December.
- 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.
- Tianqing Liu & Xiaohui Yuan, 2013. "Random rounded integer-valued autoregressive conditional heteroskedastic process," Statistical Papers, Springer, vol. 54(3), pages 645-683, August.
- Fokianos, Konstantinos, 2024. "Multivariate Count Time Series Modelling," Econometrics and Statistics, Elsevier, vol. 31(C), pages 100-116.
- Weiß, Christian H., 2010. "INARCH(1) processes: Higher-order moments and jumps," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1771-1780, December.
- Weiß, Christian H. & Zhu, Fukang, 2024. "Conditional-mean multiplicative operator models for count time series," Computational Statistics & Data Analysis, Elsevier, vol. 191(C).
- Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
- Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
- Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
- 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.
- Pedeli, Xanthi & Karlis, Dimitris, 2013. "Some properties of multivariate INAR(1) processes," Computational Statistics & Data Analysis, Elsevier, vol. 67(C), pages 213-225.
- 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.
- 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.
- Groß-Klußmann, Axel & Hautsch, Nikolaus, 2011. "Predicting bid-ask spreads using long memory autoregressive conditional poisson models," SFB 649 Discussion Papers 2011-044, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2011-044 is not listed on IDEAS
- Cathy W. S. Chen & Sangyeol Lee, 2017. "Bayesian causality test for integer-valued time series models with applications to climate and crime data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 797-814, August.
More about this item
Keywords
Autoregressive; Count time series; Maximum likelihood; Perturbation; Weak dependence; 60F05; 60G10; 62F12; 62M10;All these keywords.
JEL classification:
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:spr:testjl:v:21:y:2012:i:3:p:413-438. 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: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.