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Zero-Inflated INGARCH Using Conditional Poisson and Negative Binomial: Data Application

조건부 포아송 및 음이항 분포를 이용한 영-과잉 INGARCH 자료 분석

  • Received : 2015.05.26
  • Accepted : 2015.06.09
  • Published : 2015.06.30

Abstract

Zero-inflation has recently attracted much attention in integer-valued time series. This article deals with conditional variance (volatility) modeling for the zero-inflated count time series. We incorporate zero-inflation property into integer-valued GARCH (INGARCH) via conditional Poisson and negative binomial marginals. The Cholera frequency time series is analyzed as a data application. Estimation is carried out using EM-algorithm as suggested by Zhu (2012).

Keywords

integer-valued time series;conditional Poisson;zero-inflated INGARCH;INGARCH

References

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Cited by

  1. A recent overview on financial and special time series models vol.29, pp.1, 2016, https://doi.org/10.5351/KJAS.2016.29.1.001