Conference Agenda
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Discrete time series Location: 0.002 Session Chair: Christian H. Weiß | |
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A new class of generalized INARMA models: estimation and testing against INGARCH alternatives Karlsruhe Institute of Technology, Germany INAR and INGARCH-type processes are widely used approaches to model time series of counts. In this talk, I will speak about a class of generalized INARMA (integer-valued autoregressive) models which contains both of the aforementioned types of models as special cases. Notably I will outline a generalization of the INAR model which parallels the extension of the INARCH to the INGARCH process. Special attention is given to inference questions. These include maximum likelihood, moment-based and Gaussian quasi-likelihood techniques for parameter estimation. Moreover, I will discuss various testing problems. The developed methods are illustrated in simulation studies and a data example on childhood diseases in the German state of Bavaria. | |
