상세 보기
초록
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).
키워드
영-과잉 변동성 모형; 정수값-GARCH (INGARCH); 조건부 포아송 및 음이항 분포; integer-valued time series; conditional Poisson; zero-inflated INGARCH
- 제목
- Zero-inflated INGARCH using conditional Poisson and negative binomial : Data application
- 제목 (타언어)
- 조건부 포아송 및 음이항 분포를 이용한 영-과잉 INGARCH 자료 분석
- 저자
- 윤재은; 황선영
- 발행일
- 2015-06
- 저널명
- 응용통계연구
- 권
- 28
- 호
- 3
- 페이지
- 583 ~ 592