Robust closed-form estimators for the integer-valued GARCH(1,1) model

DOI10.1016/j.csda.2016.03.006zbMath1466.62141OpenAlexW2306933795MaRDI QIDQ1659080

Qi Li, Heng Lian, Fukang Zhu

Publication date: 15 August 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.2016.03.006

zbMATH Keywords

robustnessautocorrelation functiontime series of countsclosed-form estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (14)

The effects of additive outliers in INAR(1) process and robust estimation ⋮ Minimum density power divergence estimator for negative binomial integer-valued GARCH models ⋮ 2nd special issue on robust analysis of complex data ⋮ Binomial AR(1) processes with innovational outliers ⋮ Estimation of parameters in the MDDRCINAR(p) model ⋮ Empirical likelihood for a first-order generalized random coefficient integer-valued autoregressive process ⋮ Doubly-inflated Poisson INGARCH models for count time series ⋮ Periodic negative binomial INGARCH(1, 1) model ⋮ Self-excited hysteretic negative binomial autoregression ⋮ A generalized mixture integer-valued GARCH model ⋮ Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts ⋮ Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model

Uses Software

• robustbase

Cites Work

• Highly Robust Estimation of the Autocovariance Function
• Modelling time series of counts with overdispersion
• A closed-form estimator for the multivariate GARCH(1,1) model
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• Poisson QMLE of Count Time Series Models
• Poisson Autoregression
• Integer-Valued GARCH Process
• A New Robust Estimation Method for ARMA Models
• Thinning-based models in the analysis of integer-valued time series: a review
• A negative binomial integer-valued GARCH model
• ROBUST FITTING OF INARCH MODELS
• On count time series prediction
• Robust estimation methods for a class of log-linear count time series models
• A robust closed-form estimator for the GARCH(1,1) model
• AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
• Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity
• A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
• Robust Statistics
• Predictive Model Assessment for Count Data

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