Self-exciting threshold models for time series of counts with a finite range
In this article, an integer-valued self-exciting threshold model with a finite range based on the binomial INARCH(1) model is proposed. Important stochastic properties are derived, and approaches for parameter estimation are discussed. A real-data example about the regional spread of public drunkenn...
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| Veröffentlicht in: | Stochastic models 2016-01, Vol.32 (1), p.77-98 |
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| container_title | Stochastic models |
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| creator | Möller, Tobias A. |
| description | In this article, an integer-valued self-exciting threshold model with a finite range based on the binomial INARCH(1) model is proposed. Important stochastic properties are derived, and approaches for parameter estimation are discussed. A real-data example about the regional spread of public drunkenness in Pittsburgh demonstrates the applicability of the new model in comparison to existing models. Feasible modifications of the model are presented, which are designed to handle special features such as zero-inflation. |
| doi_str_mv | 10.1080/15326349.2015.1085319 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 1532-6349 |
| ispartof | Stochastic models, 2016-01, Vol.32 (1), p.77-98 |
| issn | 1532-6349 1532-4214 |
| language | eng |
| recordid | cdi_proquest_journals_1762974187 |
| source | EBSCOhost Business Source Complete |
| subjects | Binomial INARCH model count data time series Parameter estimation self-exciting threshold Stochastic models Time series zero-inflation |
| title | Self-exciting threshold models for time series of counts with a finite range |
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