Interventions in INGARCH processes

By Konstantinos Fokianos, Roland Fried. 2010

145 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/87e4def5ac889972066d6ee0a8baf9a4d1f3c280

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Citations in the corpus

A negative binomial integer‐valued GARCH model (2011, methodology): “A careful analysis of various types of outliers carried out by Fokianos and Fried (2010) is based on an iterative procedure that is implemented by testing, adjustment of p-values, parametric bootstrap and correction of the observed data.”
Count Time Series Models (2012, background): “In Fokianos and Fried (2010), the authors introduce the concept of intervention for the linear model (6) and discuss estimation of the intervention size as well as testing for its existence.”
Changepoints in times series of counts (2012, background): “Fokianos and Fried (2010) recently have also considered changepoint detection for linear INGARCH processes.”
Interventions in log-linear Poisson autoregression (2012, methodology): “In this sense, the current contribution is different from the one reported recently by Fokianos and Fried (2010) in the following aspects: • The interpretation and effects of outliers change because of the log-linear structure of the model we study.”
Parameter change test for zero-inflated generalized Poisson autoregressive models (2016, result): “[39] Recently, Fokianos and Fried,[27] Hudecová,[28] and Kirch et al. [40] proposed residual-based score type tests for their own purposes.”
Parameter Change Test for Poisson Autoregressive Models (2014, methodology): “In a similar spirit, Fokianos & Fried (2010, 2012) analysed the two data sets to check the presence of intervention effects in linear (INGARCH) and log-linear Poisson autoregressive models.”