Minimum density power divergence estimator for Poisson autoregressive models
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asymptotic normalityconsistencydensity-based divergence measuresinteger-valued GARCH modelPoisson autoregressive modelrobust estimation
Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)
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Cites work
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- A regression model for time series of counts
- Choosing a robustness tuning parameter
- Dual divergence estimators and tests: robustness results
- Empirical processes in the GARCH(1,1)-model and robust estimation of parameters
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- Integer-Valued GARCH Process
- Interventions in INGARCH processes
- Interventions in log-linear Poisson autoregression
- Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
- Minimum density power divergence estimator for GARCH models
- Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
- Minimum distance density-based estimation
- Minimum distance estimation of GARCH(1,1) models
- Minimum Hellinger distance estimates for parametric models
- Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
- Minimum Hellinger Distance Estimation for the Analysis of Count Data
- Monte Carlo EM Estimation for Time Series Models Involving Counts
- On autocorrelation in a Poisson regression model
- On weak dependence conditions for Poisson autoregressions
- Parameter Change Test for Poisson Autoregressive Models
- Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
- Poisson autoregression
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Robust and efficient estimation by minimising a density power divergence
- Robust estimation in the normal mixture model
- The Lindeberg-Levy Theorem for Martingales
- The monte carlo newton-raphson algorithm
- Thinning operations for modeling time series of counts -- a survey
- Time series of count data: Modeling, estimation and diagnostics
Cited in
(25)- The logarithmic super divergence and asymptotic inference properties
- Robust estimation in stochastic frontier models
- Robust estimation for general integer-valued time series models
- Sequential change point test in the presence of outliers: the density power divergence based approach
- Modeling and inference for multivariate time series of counts based on the INGARCH scheme
- Robust parametric inference for finite Markov chains
- A robust approach for testing parameter change in Poisson autoregressive models
- Recent progress in parameter change test for integer-valued time series models
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Robust parameter change test for Poisson autoregressive models
- Test for parameter change in the presence of outliers: the density power divergence-based approach
- General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications
- Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
- Hysteretic Poisson INGARCH model for integer-valued time series
- On the `optimal' density power divergence tuning parameter
- Monitoring parameter change for bivariate time series models of counts
- Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence
- Minimum density power divergence estimator for GARCH models
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
- Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
- Robust and efficient parameter estimation for discretely observed stochastic processes
- Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models
- On the stability of general Bayesian inference
- Robust estimation for bounded bivariate time series models of counts based on density power divergence
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