Please use this identifier to cite or link to this item: http://cmuir.cmu.ac.th/jspui/handle/6653943832/57173
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dc.contributor.authorBuu Chau Truongen_US
dc.contributor.authorCathy W.S. Chenen_US
dc.contributor.authorSongsak Sriboonchittaen_US
dc.date.accessioned2018-09-05T03:35:52Z-
dc.date.available2018-09-05T03:35:52Z-
dc.date.issued2017-12-01en_US
dc.identifier.issn14770342en_US
dc.identifier.issn1471082Xen_US
dc.identifier.other2-s2.0-85033444443en_US
dc.identifier.other10.1177/1471082X17703855en_US
dc.identifier.urihttps://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85033444443&origin=inwarden_US
dc.identifier.urihttp://cmuir.cmu.ac.th/jspui/handle/6653943832/57173-
dc.description.abstract© 2017, © 2017 SAGE Publications. This study proposes a new model for integer-valued time series—the hysteretic Poisson integer-valued generalized autoregressive conditionally heteroskedastic (INGARCH) model—which has an integrated hysteresis zone in the switching mechanism of the conditional expectation. Our modelling framework provides a parsimonious representation of the salient features of integer-valued time series, such as discreteness, over-dispersion, asymmetry and structural change. We adopt Bayesian methods with a Markov chain Monte Carlo sampling scheme to estimate model parameters and utilize the Bayesian information criteria for model comparison. We then apply the proposed model to five real time series of criminal incidents recorded by the New South Wales Police Force in Australia. Simulation results and empirical analysis highlight the better performance of hysteresis in modelling the integer-valued time series.en_US
dc.subjectDecision Sciencesen_US
dc.subjectMathematicsen_US
dc.titleHysteretic Poisson INGARCH model for integer-valued time seriesen_US
dc.typeJournalen_US
article.title.sourcetitleStatistical Modellingen_US
article.volume17en_US
article.stream.affiliationsFeng Chia Universityen_US
article.stream.affiliationsTon-Duc-Thang Universityen_US
article.stream.affiliationsChiang Mai Universityen_US
Appears in Collections:CMUL: Journal Articles

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