Advanced search
Publication Cover
Journal of the American Statistical Association Volume 109, 2014 - Issue 506
Submit an article Journal homepage
981
Views
63
CrossRef citations to date
0
Altmetric
Theory and Methods

Self-Excited Threshold Poisson Autoregression

Chao Wang
,
Heng Liu
,
Jian-Feng Yao
,
Richard A. Davis
&
Wai Keung Li
Pages 777-787 | Received 01 Oct 2012, Published online: 13 Jun 2014

Citations (63)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (13)

Yixuan Fan, Dehui Wang & Jianhua Cheng. (2024) A new threshold INAR(1) model based on modified negative binomial operator with random coefficient. Journal of Statistical Computation and Simulation 94:6, pages 1236-1268.
Read now
Kai Yang, Ang Li, Xinyang Yu & Xiaogang Dong. (2024) On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes. Journal of Statistical Computation and Simulation 94:1, pages 164-182.
Read now
Han Li, Haoyu Wang, Kai Yang, Jie Sun & Yan Liu. (2023) A nonparametric Bayesian analysis for meningococcal disease counts based on integer-valued threshold time series models. Communications in Statistics - Theory and Methods 52:22, pages 8223-8240.
Read now
Mohamed Bentarzi & Mohamed Sadoun. (2023) Efficient estimation in semiparametric self-exciting threshold INAR processes. Communications in Statistics - Simulation and Computation 52:6, pages 2592-2614.
Read now
Chenhui Zhang, Dehui Wang, Kai Yang, Han Li & Xiaohong Wang. (2022) Generalized Poisson integer-valued autoregressive processes with structural changes. Journal of Applied Statistics 49:11, pages 2717-2739.
Read now
Simon Nik & Christian H. Weiß. (2021) Smooth-transition autoregressive models for time series of bounded counts. Stochastic Models 37:4, pages 568-588.
Read now
Richard A. Davis, Konstantinos Fokianos, Scott H. Holan, Harry Joe, James Livsey, Robert Lund, Vladas Pipiras & Nalini Ravishanker. (2021) Count Time Series: A Methodological Review. Journal of the American Statistical Association 116:535, pages 1533-1547.
Read now
Xiaohong Wang, Dehui Wang, Kai Yang & Da Xu. (2021) Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning. Communications in Statistics - Simulation and Computation 50:6, pages 1622-1644.
Read now
Yunwei Cui & Rongning Wu. (2020) Test of parameter changes in a class of observation-driven models for count time series. Communications in Statistics - Theory and Methods 49:8, pages 1933-1959.
Read now
Mengya Liu, Qi Li & Fukang Zhu. (2019) Threshold negative binomial autoregressive model. Statistics 53:1, pages 1-25.
Read now
Kai Yang, Dehui Wang & Han Li. (2018) Threshold autoregression analysis for finite-range time series of counts with an application on measles data. Journal of Statistical Computation and Simulation 88:3, pages 597-614.
Read now
Jaewon Huh, Hanwool Kim & Sangyeol Lee. (2017) Monitoring parameter shift with Poisson integer-valued GARCH models. Journal of Statistical Computation and Simulation 87:9, pages 1754-1766.
Read now
Tobias A. Möller. (2016) Self-exciting threshold models for time series of counts with a finite range. Stochastic Models 32:1, pages 77-98.
Read now

Articles from other publishers (50)

Danshu Sheng, Dehui Wang & Liuquan Sun. (2024) A new First-Order mixture integer-valued threshold autoregressive process based on binomial thinning and negative binomial thinning. Journal of Statistical Planning and Inference 231, pages 106143.
Crossref
Yuanqi Chu & Keming Yu. (2023) Bayesian log-linear beta-negative binomial integer-valued Garch model. Computational Statistics 39:3, pages 1183-1202.
Crossref
Namhyun Kim, Pipat Wongsa-art & Yingcun Xia. (2024) A dynamic count process. Journal of Statistical Planning and Inference, pages 106187.
Crossref
Nannan Li, Cong Li & Jing Wan. (2024) Control charts for threshold correlated count data in disease infection number monitoring. Quality and Reliability Engineering International.
Crossref
Danshu Sheng, Dehui Wang, Jie Zhang, Xinyang Wang & Yiran Zhai. (2024) A Time-Varying Mixture Integer-Valued Threshold Autoregressive Process Driven by Explanatory Variables. Entropy 26:2, pages 140.
Crossref
Mirko Armillotta & Konstantinos Fokianos. (2023) Count network autoregression. Journal of Time Series Analysis.
Crossref
Mirko Armillotta & Konstantinos Fokianos. (2023) Nonlinear network autoregression. The Annals of Statistics 51:6.
Crossref
Paul Doukhan, Michael H. Neumann & Lionel Truquet. (2023) Stationarity and ergodic properties for some observation-driven models in random environments. The Annals of Applied Probability 33:6B.
Crossref
Kai Yang, Nuo Xu, Han Li, Yiwei Zhao & Xiaogang Dong. (2023) Multivariate threshold integer-valued autoregressive processes with explanatory variables. Applied Mathematical Modelling 124, pages 142-166.
Crossref
Nisreen Shamma, Mehrnaz Mohammadpour & Masoumeh Shirozhan. (2023) A threshold modeling for nonlinear time series of counts: application to COVID-19 data. TEST 32:4, pages 1195-1229.
Crossref
Muhammad Yousaf Khan, Stefan Mittnik, Mohammad Tahir, Muhammad Ali Shah & Talat Iqbal. (2023) Autoregressive conditional duration modeling and forecasting the earthquakes temporal data of the different regions of Pakistan. Acta Geophysica.
Crossref
Kai Yang, Yiwei Zhao, Han Li & Dehui Wang. (2023) On bivariate threshold Poisson integer-valued autoregressive processes. Metrika 86:8, pages 931-963.
Crossref
Gholamreza Hesamian, Faezeh Torkian, Arne Johannssen & Nataliya Chukhrova. (2023) An Exponential Autoregressive Time Series Model for Complex Data. Mathematics 11:19, pages 4022.
Crossref
Jiayue Zhang, Fukang Zhu & Huaping Chen. (2023) Two-Threshold-Variable Integer-Valued Autoregressive Model. Mathematics 11:16, pages 3586.
Crossref
Han Li, Zijian Liu, Kai Yang, Xiaogang Dong & Wenshan Wang. (2023) A pth-order random coefficients mixed binomial autoregressive process with explanatory variables. Computational Statistics.
Crossref
Kai Yang, Ang Li, Han Li & Xiaogang Dong. (2023) High-Order Self-excited Threshold Integer-Valued Autoregressive Model: Estimation and Testing. Communications in Mathematics and Statistics.
Crossref
Kai Yang, Xiuyue Zhao, Xiaogang Dong & Christian H. Weiß. (2023) Self-exciting hysteretic binomial autoregressive processes. Statistical Papers.
Crossref
Yuichi Goto. 2023. Research Papers in Statistical Inference for Time Series and Related Models. Research Papers in Statistical Inference for Time Series and Related Models 173 194 .
Mirko Armillotta, Konstantinos Fokianos & Ioannis Krikidis. 2023. Data Science in Applications. Data Science in Applications 99 116 .
Bing Su & Fukang Zhu. (2022) Temporal aggregation and systematic sampling for INGARCH processes. Journal of Statistical Planning and Inference 219, pages 120-133.
Crossref
Kai Yang, Xinyang Yu, Qingqing Zhang & Xiaogang Dong. (2022) On MCMC sampling in self-exciting integer-valued threshold time series models. Computational Statistics & Data Analysis 169, pages 107410.
Crossref
Sakineh Ramezani & Mehrnaz Mohammadpour. (2021) Integer-valued Bilinear Model with Dependent Counting Series. Methodology and Computing in Applied Probability 24:1, pages 321-343.
Crossref
Konstantinos Fokianos. (2021) Multivariate Count Time Series Modelling. Econometrics and Statistics.
Crossref
Matteo Iacopini & Carlo R.M.A. Santagiustina. (2021) Filtering the Intensity of Public Concern from Social Media Count Data with Jumps. Journal of the Royal Statistical Society Series A: Statistics in Society 184:4, pages 1283-1302.
Crossref
Congmin Liu, Jianhua Cheng & Dehui Wang. (2021) Statistical Inference for Periodic Self-Exciting Threshold Integer-Valued Autoregressive Processes. Entropy 23:6, pages 765.
Crossref
Randal Douc, François Roueff & Tepmony Sim. (2020) Necessary and sufficient conditions for the identifiability of observation‐driven models. Journal of Time Series Analysis 42:2, pages 140-160.
Crossref
Cathy W. S. Chen, Sangyeol Lee & K. Khamthong. (2020) Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts. Computational Statistics 36:1, pages 261-281.
Crossref
Tepmony Sim, Randal Douc & François Roueff. (2021) General-order observation-driven models: Ergodicity and consistency of the maximum likelihood estimator. Electronic Journal of Statistics 15:1.
Crossref
Christian H. Weiß. (2020) Stationary count time series models. WIREs Computational Statistics 13:1.
Crossref
Cathy WS ChenK Khamthong. (2019) Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models. Statistical Modelling 20:6, pages 537-561.
Crossref
Mardi Dungey, Vance L. Martin, Chrismin Tang & Andrew Tremayne. (2020) A threshold mixed count time series model: estimation and application. Studies in Nonlinear Dynamics & Econometrics 24:2.
Crossref
Christian H. Weiß. (2020) Regime-Switching Discrete ARMA Models for Categorical Time Series. Entropy 22:4, pages 458.
Crossref
Deok Ryun Kim & Sun Young Hwang. (2020) Forecasting evaluation via parametric bootstrap for threshold-INARCH models. Communications for Statistical Applications and Methods 27:2, pages 177-187.
Crossref
Jon Michel. (2019) The Limiting Distribution of a Non‐Stationary Integer Valued GARCH(1,1) Process. Journal of Time Series Analysis 41:2, pages 351-356.
Crossref
Konstantinos Fokianos, Bård Støve, Dag Tjøstheim & Paul Doukhan. (2020) Multivariate count autoregression. Bernoulli 26:1.
Crossref
Deok Ryun Kim, Jae Eun Yoon & Sun Young Hwang. (2019) Threshold-asymmetric volatility models for integer-valued time series. Communications for Statistical Applications and Methods 26:3, pages 295-304.
Crossref
Kai Yang, Dehui Wang, Boting Jia & Han Li. (2016) An integer-valued threshold autoregressive process based on negative binomial thinning. Statistical Papers 59:3, pages 1131-1160.
Crossref
Kai Yang, Han Li & Dehui Wang. (2018) Estimation of parameters in the self-exciting threshold autoregressive processes for nonlinear time series of counts. Applied Mathematical Modelling 57, pages 226-247.
Crossref
Abdelhakim Aknouche, Wissam Bentarzi & Nacer Demouche. (2018) On periodic ergodicity of a general periodic mixed Poisson autoregression. Statistics & Probability Letters 134, pages 15-21.
Crossref
Youngmi Lee, Sangyeol Lee & Dag Tjøstheim. (2016) Asymptotic normality and parameter change test for bivariate Poisson INGARCH models. TEST 27:1, pages 52-69.
Crossref
Christian Weiß. 2018. An Introduction to Discrete‐Valued Time Series. An Introduction to Discrete‐Valued Time Series 257 274 .
Muhammad Yousaf Khan & Stefan Mittnik. (2017) Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region. Journal of Seismology 22:1, pages 353-376.
Crossref
Buu-Chau TruongCathy WS ChenSongsak Sriboonchitta. (2017) Hysteretic Poisson INGARCH model for integer-valued time series. Statistical Modelling 17:6, pages 401-422.
Crossref
Han Li, Kai Yang & Dehui Wang. (2017) Quasi-likelihood inference for self-exciting threshold integer-valued autoregressive processes. Computational Statistics 32:4, pages 1597-1620.
Crossref
Tobias A. Möller, Maria Eduarda Silva, Christian H. Weiß, Manuel G. Scotto & Isabel Pereira. (2015) Self-exciting threshold binomial autoregressive processes. AStA Advances in Statistical Analysis 100:4, pages 369-400.
Crossref
Cathy W.S. Chen, Mike K.P. So, Jessica C. Li & Songsak Sriboonchitta. (2016) Autoregressive conditional negative binomial model applied to over-dispersed time series of counts. Statistical Methodology 31, pages 73-90.
Crossref
Cathy W.S. Chen & Sangyeol Lee. (2016) Generalized Poisson autoregressive models for time series of counts. Computational Statistics & Data Analysis 99, pages 51-67.
Crossref
K.Y.K. Wu & W.K. Li. (2015) Double Generalized Threshold Models with constraint on the dispersion by the mean. Computational Statistics & Data Analysis 82, pages 59-73.
Crossref
Vasiliki Christou & Konstantinos Fokianos. (2015) Estimation and testing linearity for non-linear mixed poisson autoregressions. Electronic Journal of Statistics 9:1.
Crossref
Tobias Möller & Christian H. Weiß. 2015. Stochastic Models, Statistics and Their Applications. Stochastic Models, Statistics and Their Applications 327 334 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.