Periodic integer-valued GARCH(1,1) model

DOI10.1080/03610918.2014.994780MaRDI QIDQ2974922zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, Wissam Bentarzi

Publication date 11 April 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2014.994780

zbMATH Keywords

mean and second moment periodically stationary modelperiodic INGARCH modelperiodically correlated integer-valued process

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(16)

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• Flexible and Robust Mixed Poisson INGARCH Models
• On a periodic negative binomial SETINAR model
• On a periodic SETINAR model
• Periodic negative binomial INGARCH(1, 1) model
• Asymptotic distribution of CLS estimators in the nearly unstable and unstable PINAR(1) model
• The Markov approximation of the periodic multivariate Poisson autoregression
• The effects of aggregation and sampling on periodic INGARCH processes
• On Periodic Generalized Poisson INAR(1) Model
• On Periodic Generalized Poisson INAR ( p ) Models

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