Random coefficient continuous systems: Testing for extreme sample path behavior
Sign Up to like & getrecommendations! Published in 2019 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2019.01.002
Abstract: This paper studies a continuous time dynamic system with a random persistence parameter. The exact discrete time representation is obtained and related to several discrete time random coefficient models currently in the literature. The model… read more here.
Keywords: coefficient continuous; continuous systems; sample path; extreme sample ... See more keywords
Variable selection in generalized random coefficient autoregressive models
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Inequalities and Applications"
DOI: 10.1186/s13660-018-1680-4
Abstract: In this paper, we consider the variable selection problem of the generalized random coefficient autoregressive model (GRCA). Instead of parametric likelihood, we use non-parametric empirical likelihood in the information theoretic approach. We propose an empirical… read more here.
Keywords: coefficient autoregressive; generalized random; selection generalized; random coefficient ... See more keywords
Estimation for random coefficient integer-valued autoregressive model under random environment
Sign Up to like & getrecommendations! Published in 2019 at "Advances in Difference Equations"
DOI: 10.1186/s13662-019-2436-2
Abstract: A first-order random coefficient integer-valued autoregressive model based on the negative binomial thinning operator under r states random environment is introduced. This paper derives numerical characteristics of the proposed model, establishes Yule–Walker estimators of model… read more here.
Keywords: coefficient integer; integer valued; valued autoregressive; model ... See more keywords
A Zero-Inflated Geometric INAR(1) Process with Random Coefficient
Sign Up to like & getrecommendations! Published in 2018 at "Applications of Mathematics"
DOI: 10.21136/am.2018.0082-17
Abstract: Many real-life count data are frequently characterized by overdispersion, excess zeros and autocorrelation. Zero-inflated count time series models can provide a powerful procedure to model this type of data. In this paper, we introduce a… read more here.
Keywords: zero inflated; process; random coefficient; process random ... See more keywords