A time-varying zero-inflated serially dependent Poisson process is proposed. The model assumes that the intensity of the Poisson Process evolves according to a generalized autoregressive conditional heteroscedastic (GARCH) formulation. The proposed model is a generalization of the zero-inflated Poisson Integer GARCH model proposed by Fukang Zhu in 2012, which in return is a generalization of the Integer GARCH (INGARCH) model introduced by Ferland, Latour, and Oraichi in 2006. The proposed model builds on previous work by allowing the zero-inflation parameter to vary over time, governed by a deterministic function or by an exogenous variable. Both the Expectation Maximization (EM) and the Maximum Likelihood Estimation (MLE) approaches are presented as possible estimation methods. A simulation study shows that both parameter estimation methods provide good estimates. Applications to two real-life data sets show that the proposed INGARCH model provides a better fit than the traditional zero-inflated INGARCH model in the cases considered.
翻译:模型假设Poisson过程的强度会根据普遍自动递减性有条件螺旋体(GARCH)的配方而演化。拟议模型是Fukang Zhu于2012年提议的零膨胀Poisson Integer GARCH模型的概括化,作为2006年Ferland、Latour和Oraichi引进的Integer GARCH(INGARCH)模型的概括化。拟议的模型以先前的工作为基础,允许零膨胀参数随时间变化,受确定性功能或外源变量的制约。预期最大化和最大相似度刺激(MLE)是可能的估算方法。模拟研究表明,两种参数估计方法都提供了良好的估计。对两个真实数据组的应用表明,在所审议的案例中,拟议的INGARCH模型比传统的零膨胀INGARCH模型更适合。