Order shrinkage and selection for the INGARCH(p,q) model.

The integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) model is often utilized to describe data in biostatistics, such as the number of people infected with dengue fever, daily epileptic seizure counts of an epileptic patient and the number of cases of campylobacterosis infections, etc. Since the structure of such data is generally high-order and sparse, studies about order shrinkage and selection for the model attract many attentions. In this paper, we propose a penalized conditional maximum likelihood (PCML) method to solve this problem. The PCML method can effectively select significant orders and estimate the parameters, simultaneously. Some simulations and a real data analysis are carried out to illustrate the usefulness of our method. [ABSTRACT FROM AUTHOR]