A Systematic Review of INGARCH Models for Integer-Valued Time Series

Abstract

Count time series are widely available in fields such as epidemiology, finance, meteorology, and sports, and thus there is a growing demand for both methodological and application-oriented research on such data. This paper reviews recent developments in integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models over the past five years, focusing on data types including unbounded non-negative counts, bounded non-negative counts, (Formula presented.) -valued time series and multivariate counts. For each type of data, our review follows the three main lines of model innovation, methodological development, and expansion of application areas. We attempt to summarize the recent methodological developments of INGARCH models for each data type for the integration of the whole INGARCH modeling field and suggest some potential research topics.