Self-Excited Threshold Poisson Autoregression
نویسندگان
چکیده
منابع مشابه
Poisson Autoregression
This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Pois...
متن کاملNonlinear Poisson autoregression
We study statistical properties of a class of non-linear models for regression analysis of count time series. Under mild conditions, it is shown that a perturbed version of the model is geometrically ergodic and possesses moments of any order. This result turns out to be instrumental on deriving large sample properties of the maximum likelihood estimators of the regression parameters. The theor...
متن کاملA Bayesian Poisson Vector Autoregression Model
Multivariate count models are rare in political science, despite the presence of many count time series. This article develops a new Bayesian Poisson vector autoregression (BaP-VAR) model that can characterize endogenous dynamic counts with no restrictions on the contemporaneous correlations. Impulse responses, decomposition of the forecast errors, and dynamic multiplier methods for the effects...
متن کاملThreshold Autoregression, Limit Cycles and Cyclical Data
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your perso...
متن کاملPhase Space Distribution Near the Self-Excited Oscillation Threshold
We study the phase space distribution of an optomechanical cavity near the threshold of self-excited oscillation. A fully on-fiber optomechanical cavity is fabricated by patterning a suspended metallic mirror on the tip of the fiber. Optically induced self-excited oscillation of the suspended mirror is observed above a threshold value of the injected laser power. A theoretical analysis based on...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 2014
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.2013.872994