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http://dx.doi.org/10.5351/KJAS.2015.28.3.583

Zero-Inflated INGARCH Using Conditional Poisson and Negative Binomial: Data Application  

Yoon, J.E. (Department of Statistics, Sookmyung Women's University)
Hwang, S.Y. (Department of Statistics, Sookmyung Women's University)
Publication Information
The Korean Journal of Applied Statistics / v.28, no.3, 2015 , pp. 583-592 More about this Journal
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).
Keywords
integer-valued time series; conditional Poisson; zero-inflated INGARCH; INGARCH;
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Times Cited By KSCI : 1  (Citation Analysis)
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