On an integer-valued stochastic intensity model for time series of counts

We propose a broad class of count time series models, the mixed Poisson integer-valued stochastic intensity models. The proposed specification encompasses a wide range of conditional distributions of counts. We study its probabilistic structure and design Markov chain Monte Carlo algorithms for two cases; the Poisson and the negative binomial distributions. The methodology is applied to simulated data as well as to various data sets. Model comparison using marginal likelihoods and forecast evaluation using point and density forecasts are also considered.

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Publication Details

Journal
Journal of Statistical Computation and Simulation
Published
2025-03-04
DOI
https://doi.org/10.1080/00949655.2025.2473603
Citations
1
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
2.21
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article

On an integer-valued stochastic intensity model for time series of counts

Abdelhakim Aknouche, Nassim Touche, Stefanos Dimitrakopoulos
1 citations
Journal of Statistical Computation and Simulation
Financial Risk and Volatility Modeling
2.21
article

On an integer-valued stochastic intensity model for time series of counts

Abdelhakim Aknouche, Nassim Touche, Stefanos Dimitrakopoulos
article en
1 citations

Abstract

We propose a broad class of count time series models, the mixed Poisson integer-valued stochastic intensity models. The proposed specification encompasses a wide range of conditional distributions of counts. We study its probabilistic structure and design Markov chain Monte Carlo algorithms for two cases; the Poisson and the negative binomial distributions. The methodology is applied to simulated data as well as to various data sets. Model comparison using marginal likelihoods and forecast evaluation using point and density forecasts are also considered.

Journal of Statistical Computation and SimulationVol. 95(8)
Qassim University (SA), University of Béjaïa (DZ), Athens University of Economics and Business (GR)
Openalex Percentile: Top 19%
Financial Risk and Volatility Modeling
2.21
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On an integer-valued stochastic intensity model for time series of counts — Abdelhakim Aknouche, Nassim Touche, et al. · Journal of Statistical Computation and Simulation (2025) | TGRS Research Map | TGRS