Minimum density power divergence estimator for Poisson autoregressive models

DOI10.1016/J.CSDA.2014.06.009MaRDI QIDQ1623690zbMATH OpenOpenAlexFDO

Authors Jiwon Kang, Sangyeol Lee

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2014.06.009

zbMATH Keywords

asymptotic normalityconsistencyrobust estimationPoisson autoregressive modeldensity-based divergence measuresinteger-valued GARCH model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited in

(21)

• Test for parameter change in the presence of outliers: the density power divergence-based approach
• Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence
• The logarithmic super divergence and asymptotic inference properties
• Robust parametric inference for finite Markov chains
• Recent progress in parameter change test for integer-valued time series models
• Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Robust estimation for general integer-valued time series models
• Robust estimation in stochastic frontier models
• Sequential change point test in the presence of outliers: the density power divergence based approach
• Minimum density power divergence estimator for GARCH models
• Monitoring parameter change for bivariate time series models of counts
• Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
• Hysteretic Poisson INGARCH model for integer-valued time series
• General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications
• Robust parameter change test for Poisson autoregressive models
• On the `optimal' density power divergence tuning parameter
• Modeling and inference for multivariate time series of counts based on the INGARCH scheme
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• A robust approach for testing parameter change in Poisson autoregressive models
• Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function

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