Hysteretic Poisson INGARCH model for integer-valued time series

© 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...

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Main Authors: Buu Chau Truong, Cathy W.S. Chen, Songsak Sriboonchitta
Format: Journal
Published: 2018
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http://cmuir.cmu.ac.th/jspui/handle/6653943832/57173
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Institution: Chiang Mai University
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spelling th-cmuir.6653943832-571732018-09-05T03:44:09Z Hysteretic Poisson INGARCH model for integer-valued time series Buu Chau Truong Cathy W.S. Chen Songsak Sriboonchitta Decision Sciences Mathematics © 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 expectation. Our modelling framework provides a parsimonious representation of the salient features of integer-valued time series, such as discreteness, over-dispersion, asymmetry and structural change. We adopt Bayesian methods with a Markov chain Monte Carlo sampling scheme to estimate model parameters and utilize the Bayesian information criteria for model comparison. We then apply the proposed model to five real time series of criminal incidents recorded by the New South Wales Police Force in Australia. Simulation results and empirical analysis highlight the better performance of hysteresis in modelling the integer-valued time series. 2018-09-05T03:35:52Z 2018-09-05T03:35:52Z 2017-12-01 Journal 14770342 1471082X 2-s2.0-85033444443 10.1177/1471082X17703855 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85033444443&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/57173
institution Chiang Mai University
building Chiang Mai University Library
country Thailand
collection CMU Intellectual Repository
topic Decision Sciences
Mathematics
spellingShingle Decision Sciences
Mathematics
Buu Chau Truong
Cathy W.S. Chen
Songsak Sriboonchitta
Hysteretic Poisson INGARCH model for integer-valued time series
description © 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 expectation. Our modelling framework provides a parsimonious representation of the salient features of integer-valued time series, such as discreteness, over-dispersion, asymmetry and structural change. We adopt Bayesian methods with a Markov chain Monte Carlo sampling scheme to estimate model parameters and utilize the Bayesian information criteria for model comparison. We then apply the proposed model to five real time series of criminal incidents recorded by the New South Wales Police Force in Australia. Simulation results and empirical analysis highlight the better performance of hysteresis in modelling the integer-valued time series.
format Journal
author Buu Chau Truong
Cathy W.S. Chen
Songsak Sriboonchitta
author_facet Buu Chau Truong
Cathy W.S. Chen
Songsak Sriboonchitta
author_sort Buu Chau Truong
title Hysteretic Poisson INGARCH model for integer-valued time series
title_short Hysteretic Poisson INGARCH model for integer-valued time series
title_full Hysteretic Poisson INGARCH model for integer-valued time series
title_fullStr Hysteretic Poisson INGARCH model for integer-valued time series
title_full_unstemmed Hysteretic Poisson INGARCH model for integer-valued time series
title_sort hysteretic poisson ingarch model for integer-valued time series
publishDate 2018
url https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85033444443&origin=inward
http://cmuir.cmu.ac.th/jspui/handle/6653943832/57173
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