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Zero-inflated INGARCH using conditional Poisson and negative binomial : Data application조건부 포아송 및 음이항 분포를 이용한 영-과잉 INGARCH 자료 분석
- Other Titles
- 조건부 포아송 및 음이항 분포를 이용한 영-과잉 INGARCH 자료 분석
- Issue Date
- Jun-2015
- Publisher
- 한국통계학회
- Keywords
- 영-과잉 변동성 모형; 정수값-GARCH (INGARCH); 조건부 포아송 및 음이항 분포; integer-valued time series; conditional Poisson; zero-inflated INGARCH
- Citation
- 응용통계연구, v.28, no. 3, pp 583 - 592
- Pages
- 10
- Journal Title
- 응용통계연구
- Volume
- 28
- Number
- 3
- Start Page
- 583
- End Page
- 592
- ISSN
- 1225-066X
- 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).
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