Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts (Q2317328)
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scientific article; zbMATH DE number 7091584
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| English | Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts |
scientific article; zbMATH DE number 7091584 |
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Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts (English)
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9 August 2019
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additive outliers
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count data
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INGARCH model
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negative binomial model
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robust estimation
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weighted maximum likelihood
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0.8491750359535217
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0.8322193622589111
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0.8293120861053467
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0.8266328573226929
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0.8113639950752258
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