کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1148810 | 957852 | 2012 | 14 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Zero-inflated Poisson and negative binomial integer-valued GARCH models Zero-inflated Poisson and negative binomial integer-valued GARCH models](/preview/png/1148810.png)
Zero inflation means that the proportion of 0's of a model is greater than the proportion of 0's of the corresponding Poisson model, which is a common phenomenon in count data. To model the zero-inflated characteristic of time series of counts, we propose zero-inflated Poisson and negative binomial INGARCH models, which are useful and flexible generalizations of the Poisson and negative binomial INGARCH models, respectively. The stationarity conditions and the autocorrelation function are given. Based on the EM algorithm, the estimating procedure is simple and easy to be implemented. A simulation study shows that the estimation method is accurate and reliable as long as the sample size is reasonably large. A real data example leads to superior performance of the proposed models compared with other competitive models in the literature.
Journal: Journal of Statistical Planning and Inference - Volume 142, Issue 4, April 2012, Pages 826–839