Integer-Valued GARCH Models for Count Time Series: Case Study계수 시계열을 위한 정수값 GARCH 모델링: 사례분석
- Other Titles
- 계수 시계열을 위한 정수값 GARCH 모델링: 사례분석
- Authors
- 윤재은; 황선영
- Issue Date
- Feb-2015
- Publisher
- 한국통계학회
- Keywords
- 계수 시계열; 정수값 GARCH (INGARCH); 과산포; 영과잉 GARCH; Count time series; integer-valued GARCH(INGARCH); over-dispersion; zero-inflated INGARCH
- Citation
- 응용통계연구, v.28, no. 1, pp 115 - 122
- Pages
- 8
- Journal Title
- 응용통계연구
- Volume
- 28
- Number
- 1
- Start Page
- 115
- End Page
- 122
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/10674
- DOI
- 10.5351/KJAS.2015.28.1.115
- ISSN
- 1225-066X
- Abstract
- This article is concerned with count time series taking values in non-negative integers. Along with the first order mean of the count time series, conditional variance (volatility) has recently been paid attention to and therefore various integer-valued GARCH(generalized autoregressive conditional heteroscedasticity) models have been suggested in the last decade. We introduce diverse integer-valued GARCH(INGARCH, for short) processes to count time series and a real data application is illustrated as a case study. In addition, zero inflated INGARCH models are discussed to accommodate zero-inflated count time series.
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