Integer-Valued GARCH Models for Count Time Series: Case Study
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 윤재은 | - |
dc.contributor.author | 황선영 | - |
dc.date.available | 2021-02-22T11:46:04Z | - |
dc.date.issued | 2015-02 | - |
dc.identifier.issn | 1225-066X | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/10674 | - |
dc.description.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. | - |
dc.format.extent | 8 | - |
dc.language | 한국어 | - |
dc.language.iso | KOR | - |
dc.publisher | 한국통계학회 | - |
dc.title | Integer-Valued GARCH Models for Count Time Series: Case Study | - |
dc.title.alternative | 계수 시계열을 위한 정수값 GARCH 모델링: 사례분석 | - |
dc.type | Article | - |
dc.publisher.location | South Korea | - |
dc.identifier.doi | 10.5351/KJAS.2015.28.1.115 | - |
dc.identifier.bibliographicCitation | 응용통계연구, v.28, no. 1, pp 115 - 122 | - |
dc.citation.title | 응용통계연구 | - |
dc.citation.volume | 28 | - |
dc.citation.number | 1 | - |
dc.citation.startPage | 115 | - |
dc.citation.endPage | 122 | - |
dc.identifier.kciid | ART001964863 | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | 계수 시계열 | - |
dc.subject.keywordAuthor | 정수값 GARCH (INGARCH) | - |
dc.subject.keywordAuthor | 과산포 | - |
dc.subject.keywordAuthor | 영과잉 GARCH | - |
dc.subject.keywordAuthor | Count time series | - |
dc.subject.keywordAuthor | integer-valued GARCH(INGARCH) | - |
dc.subject.keywordAuthor | over-dispersion | - |
dc.subject.keywordAuthor | zero-inflated INGARCH | - |
dc.identifier.url | http://kiss.kstudy.com/thesis/thesis-view.asp?key=3301384 | - |
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