有界计数时间序列的软裁剪INGARCH模型

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY

Statistical Modelling Pub Date : 2022-12-20 DOI:10.1177/1471082x221121223

C. Weiß, Malte Jahn

{"title":"有界计数时间序列的软裁剪INGARCH模型","authors":"C. Weiß, Malte Jahn","doi":"10.1177/1471082x221121223","DOIUrl":null,"url":null,"abstract":"The soft-clipping binomial INGARCH (scBINGARCH) models are proposed as time series models for bounded counts, which have a nearly linear structure and also allow for negative autocor-relations. Conditions that guarantee the existence and certain mixing properties of the scBINGARCH process are derived, and further stochastic properties are discussed. The consistency and asymptotic nor-mality of maximum likelihood estimators are established, and finite-sample properties are studied with simulations. The practical relevance of the scBINGARCH model’s ability to allow for negative parameter and ACF values is demonstrated by some real-data examples.","PeriodicalId":49476,"journal":{"name":"Statistical Modelling","volume":" ","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2022-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Soft-clipping INGARCH models for time series of bounded counts\",\"authors\":\"C. Weiß, Malte Jahn\",\"doi\":\"10.1177/1471082x221121223\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The soft-clipping binomial INGARCH (scBINGARCH) models are proposed as time series models for bounded counts, which have a nearly linear structure and also allow for negative autocor-relations. Conditions that guarantee the existence and certain mixing properties of the scBINGARCH process are derived, and further stochastic properties are discussed. The consistency and asymptotic nor-mality of maximum likelihood estimators are established, and finite-sample properties are studied with simulations. The practical relevance of the scBINGARCH model’s ability to allow for negative parameter and ACF values is demonstrated by some real-data examples.\",\"PeriodicalId\":49476,\"journal\":{\"name\":\"Statistical Modelling\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2022-12-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Statistical Modelling\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1177/1471082x221121223\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Statistical Modelling","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1177/1471082x221121223","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}

引用次数: 5

摘要

提出了软裁剪二项INGARCH (scBINGARCH)模型作为有界计数的时间序列模型，该模型具有近线性结构，并且允许负自相关关系。导出了schbingarch过程存在的条件和一定的混合性质，并进一步讨论了其随机性质。建立了极大似然估计的相合性和渐近正态性，并通过仿真研究了极大似然估计的有限样本性质。一些实际数据示例证明了scBINGARCH模型允许负参数和ACF值的能力的实际相关性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Soft-clipping INGARCH models for time series of bounded counts

The soft-clipping binomial INGARCH (scBINGARCH) models are proposed as time series models for bounded counts, which have a nearly linear structure and also allow for negative autocor-relations. Conditions that guarantee the existence and certain mixing properties of the scBINGARCH process are derived, and further stochastic properties are discussed. The consistency and asymptotic nor-mality of maximum likelihood estimators are established, and finite-sample properties are studied with simulations. The practical relevance of the scBINGARCH model’s ability to allow for negative parameter and ACF values is demonstrated by some real-data examples.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Statistical Modelling 数学-统计学与概率论

CiteScore

2.20

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The primary aim of the journal is to publish original and high-quality articles that recognize statistical modelling as the general framework for the application of statistical ideas. Submissions must reflect important developments, extensions, and applications in statistical modelling. The journal also encourages submissions that describe scientifically interesting, complex or novel statistical modelling aspects from a wide diversity of disciplines, and submissions that embrace the diversity of applied statistical modelling.