Hysteretic Poisson INGARCH model for integer-valued time series

• المؤلفون الرئيسيون: Buu Chau Truong, Cathy W.S. Chen, Songsak Sriboonchitta
• التنسيق: دورية
• منشور في: 2018
• الموضوعات: Decision Sciences; Mathematics; Agricultural and Biological Sciences; Arts and Humanities
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85033444443&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/43443
• المؤسسة: Chiang Mai University

© 2017, © 2017 SAGE Publications. This study proposes a new model for integer-valued time series—the hysteretic Poisson integer-valued generalized autoregressive conditionally heteroskedastic (INGARCH) model—which has an integrated hysteresis zone in the switching mechanism of the conditional expect...