Thinning operations for modeling time series of counts—a survey

By Christian H. Weiβ. 2008

419 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f984f8ab0d61ad426daa83effe23ea95847b98b0

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Citations in the corpus

Parameter Change Test for Poisson Autoregressive Models (2014, methodology): “A review of these models is given by McKenzie (2003) and Weiß (2008).”
Infinitely Divisible Distributions in Integer‐Valued Garch Models (2015, positive): “…the study associated with ARMA models, the general family of integer-valued ARMA models (or brieﬂy, INARMA ) has been introduced and developed with the scalar multiplication replaced by an integer-valued operator with analogous properties, called thinning operation (Weiß, 2008, for a survey).”
A geometric time series model with dependent Bernoulli counting series (2013, neutral): “…and Alzaid (1987), Alzaid and Al-Osh (1988, 1990), Du and Li (1991), Al-Osh and Aly (1992), Franke and Subba Rao (1995), Latour (1997), Silva and Oliveira (2004), Freeland and McCabe (2004a, 2004b, 2005), Jung and Tremayne (2006), Weiß (2008a), Cui and Lund (2010) and Bakouch and Ristić (2010).”
Discrete dispersion models and their Tweedie asymptotics (2014, methodology): “The same technique has been used extensively for constructing discrete time-series models (e.g. Weiß, 2008).”
Parameter change test for zero-inflated generalized Poisson autoregressive models (2016, methodology): “The former includes the autoregressive moving average (ARMA)-type models based on a binomial thinning, referred to as integer-valued ARMA models; for example, see Alzaid and Al-Osh,[1] Du and Li,[2] McKenzie,[3] and Weiß.”
Zero truncated Poisson integer-valued AR(1) model (2010, methodology): “Now, we apply some models to the original time series such as PoINAR(1) (Al-Osh and Alzaid 1987), NBRCINAR(1) ( Weis 2008 ), NBINAR(1) (Zhu and Joe 2006),”
Detecting mean increases in Poisson INAR(1) processes with EWMA control charts (2011, methodology): “References for these along with related case studies are provided by Weiß [25].”
Bayesian causality test for integer‐valued time series models with applications to climate and crime data (2017, methodology): “Examples of auto-regressive moving average type models based on binomial thinning include those in Alzaid and Al-Osh (1990), McKenzie (2003) and Weiß (2008).”
A negative binomial integer‐valued GARCH model (2011, background): “Weiß (2008) gave a review for thinning operator models.”
CUSUM Monitoring of First-Order Integer-Valued Autoregressive Processes of Poisson Counts (2009, background): “Interested readers can consult Weiß (2008) for further properties and references.”
Estimation and testing for a Poisson autoregressive model (2011, background): “Reviews of models for integer-valued time series are contained in Davis et al. (1999) and Weis (2008) .”
Integer-Valued Self-Exciting Threshold Autoregressive Processes (2012, methodology): “Various modifications of this thinning operator have been proposed to make the integer-valued models based on thinning more flexible for practical purposes; see Weiß(2008b) for further details.”