期刊
JOURNAL OF STATISTICAL PLANNING AND INFERENCE
卷 142, 期 4, 页码 826-839出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jspi.2011.10.002
关键词
EM algorithm; Integer-valued GARCH model; Negative binomial; Poisson; Time series of counts; Zero inflation
资金
- National Science Foundation of China [11001105, 10971081]
- Specialized Research Fund for the Doctoral Program of Higher Education [20090061120037]
- Jilin University [200903278, 201100011, 200810024]
Zero inflation means that the proportion of 0's of a model is greater than the proportion of 0's of the corresponding Poisson model, which is a common phenomenon in count data. To model the zero-inflated characteristic of time series of counts, we propose zero-inflated Poisson and negative binomial INGARCH models, which are useful and flexible generalizations of the Poisson and negative binomial INGARCH models, respectively. The stationarity conditions and the autocorrelation function are given. Based on the EM algorithm, the estimating procedure is simple and easy to be implemented. A simulation study shows that the estimation method is accurate and reliable as long as the sample size is reasonably large. A real data example leads to superior performance of the proposed models compared with other competitive models in the literature. (C) 2011 Elsevier B.V. All rights reserved.
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