Self-excited hysteretic negative binomial autoregression

Liu, MY; Li, Q; Zhu, FK

Zhu, FK (corresponding author), Jilin Univ, Sch Math, 2699 Qianjin St, Changchun 130012, Peoples R China.

ASTA-ADVANCES IN STATISTICAL ANALYSIS, 2020; 104 (3): 385

Abstract

This paper studies an observation-driven model for time series of counts, in which the observations are supposed to follow a negative binomial distrib......

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