Browsing by Author "Fried, R."

Now showing items 1-4 of 4

    • Article  

      Interventions in INGARCH processes 

      Fokianos, Konstantinos; Fried, R. (2010)
      We study the problem of intervention effects generating various types of outliers in a linear count time-series model. This model belongs to the class of observation-driven models and extends the class of Gaussian linear ...
    • Article  

      Interventions in log-linear Poisson autoregression 

      Fokianos, Konstantinos; Fried, R. (2012)
      We consider the problem of estimating and detecting outliers in count time series data following a log-linear observation driven model. Log-linear models for count time series arise naturally because they correspond to the ...
    • Article  

      Modelling interventions in INGARCH processes 

      Liboschik, T.; Kerschke, P.; Fokianos, Konstantinos; Fried, R. (2016)
      We study different approaches for modelling intervention effects in time series of counts, focusing on the so-called integer-valued GARCH models. A previous study treated a model where an intervention affects the non-observable ...
    • Article  

      Retrospective Bayesian outlier detection in INGARCH series 

      Fried, R.; Agueusop, I.; Bornkamp, B.; Fokianos, Konstantinos; Fruth, J.; Ickstadt, K. (2013)
      INGARCH models for time series of counts arising, e.g., in epidemiology or finance assume the observations to be Poisson distributed conditionally on the past, with the conditional mean being an affine-linear function of ...