Threshold negative binomial autoregressive model
Threshold negative binomial autoregressive model
复制标题
阈值负二项式自回归模型
DOI：
10.1080/02331888.2018.1546307
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发表时间：
2018-11
期刊：
影响因子：
1.9
通讯作者：
Zhu Fukang
中科院分区：
文献类型：
--
作者：
Liu Mengya;Li Qi;Zhu Fukang
This article studies an observation-driven model for time series of counts, which allows for overdispersion and negative serial dependence in the observations. The observations are supposed to follow a negative binomial distribution conditioned on past information with the form of thresh old models, which generates a two-regime structure on the basis of the magnitude of the lagged observations. We use the weak dependence approach to establish the stationarity and ergodicity, and the inference for regression parameters are obtained by the quasi-likelihood. Moreover, asymptotic properties of both quasi-maximum likelihood estimators and the threshold estimator are established, respectively. Simulation studies are considered and so are two applications, one of which is the trading volume of a stock and another is the number of major earthquakes.
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DOI：
10.2307/1533949
发表时间：
1990
期刊：
--
影响因子：
--
作者：
H. Tong
通讯作者：
H. Tong
影响因子：
1
作者：
Buu-Chau Truong;Cathy W. S. Chen;S. Sriboonchitta
通讯作者：
Buu-Chau Truong;Cathy W. S. Chen;S. Sriboonchitta
DOI：
10.2307/2347661
发表时间：
1984-03
期刊：
Applied statistics
影响因子：
--
作者：
N. Breslow
通讯作者：
N. Breslow
影响因子：
3.7
作者：
Fokianos, Konstantinos;Rahbek, Anders;Tjostheim, Dag
通讯作者：
Tjostheim, Dag
影响因子：
3
作者：
Heejoon Han;Dennis Kristensen
通讯作者：
Heejoon Han;Dennis Kristensen