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).

引用

下载

页码：583 / 592

页数：10

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