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Article
An Integer GARCH Model For A Poisson Process With Time-varying Zero-inflation
PLoS ONE
  • Isuru Panduka Ratnayake
  • V. A. Samaranayake, Missouri University of Science and Technology
Abstract

A serially dependent Poisson process with time-varying zero-inflation is proposed. Such formulations have the potential to model count data time series arising from phenomena such as infectious diseases that ebb and flow over time. The model assumes that the intensity of the Poisson process evolves according to a generalized autoregressive conditional heteroscedastic (GARCH) formulation and allows the zero-inflation parameter to vary over time and be 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 on infant deaths due to influenza show that the proposed integer-valued GARCH (INGARCH) model provides a better fit in general than existing zero-inflated INGARCH models. We also extended a non-linear INGARCH model to include zero-inflation and an exogenous input. This extended model performed as well as our proposed model with respect to some criteria, but not with respect to all.

Department(s)
Mathematics and Statistics
Publication Status
Open Access
Document Type
Article - Journal
Document Version
Final Version
File Type
text
Language(s)
English
Rights
© 2023 The Authors, All rights reserved.
Creative Commons Licensing
Creative Commons Attribution 4.0
Publication Date
5-1-2023
Publication Date
01 May 2023
PubMed ID
37200315
Citation Information
Isuru Panduka Ratnayake and V. A. Samaranayake. "An Integer GARCH Model For A Poisson Process With Time-varying Zero-inflation" PLoS ONE Vol. 18 Iss. 5 MAY (2023) ISSN: 1932-6203
Available at: http://works.bepress.com/va-samaranayake/60/