Zero-Inflated INGARCH Using Conditional Poisson and Negative Binomial: Data Application

被引：2
|
作者：
Yoon, J. E. [1 ]
Hwang, S. Y. [1 ]
机构：
[1] Sookmyung Womens Univ, Dept Stat, Seoul 140742, South Korea
来源：
KOREAN JOURNAL OF APPLIED STATISTICS | 2015年 / 28卷 / 03期
关键词：
integer-valued time series; conditional Poisson; zero-inflated INGARCH;
D O I：
10.5351/KJAS.2015.28.3.583
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Zero-inflation has recently attracted much attention in integer-valued time series. This article deals with conditional variance (volatility) modeling for the zero-inflated count time series. We incorporate zero-inflation property into integer-valued GARCH (INGARCH) via conditional Poisson and negative binomial marginals. The Cholera frequency time series is analyzed as a data application. Estimation is carried out using EM-algorithm as suggested by Zhu (2012).
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页码：583 / 592
页数：10
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