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To test the null hypothesis of a Poisson marginal distribution, test statistics based on the Stein–Chen identity are proposed. For a wide class of Poisson count time series, the asymptotic distribution of different types of Stein–Chen statistics is derived, also if multiple statistics are jointly applied. The performance of the tests is analyzed with simulations, as well as the question which Stein–Chen...
In this article we present a new method for performing Bayesian parameter inference and model choice for low‐ count time series models with intractable likelihoods. The method involves incorporating an alive particle filter within a sequential Monte Carlo (SMC) algorithm to create a novel exact‐approximate algorithm, which we refer to as alive SMC. The advantages of this approach over competing methods...
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