Robust closed-form estimators for the integer-valued GARCH(1,1) model
DOI10.1016/J.CSDA.2016.03.006zbMATH Open1466.62141OpenAlexW2306933795MaRDI QIDQ1659080FDOQ1659080
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
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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)
Cites Work
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- AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL
Cited In (17)
- A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
- Doubly-inflated Poisson INGARCH models for count time series
- Estimation of parameters in the MDDRCINAR(p) model
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
- The effects of additive outliers in INAR(1) process and robust estimation
- Self-excited hysteretic negative binomial autoregression
- A generalized mixture integer-valued GARCH model
- Periodic negative binomial INGARCH(1, 1) model
- Estimation of parameters in the \(\mathrm{DDRCINAR}(p)\) model
- Empirical likelihood for a first-order generalized random coefficient integer-valued autoregressive process
- A zero-modified geometric INAR(1) model for analyzing count time series with multiple features
- Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- 2nd special issue on robust analysis of complex data
- Binomial AR(1) processes with innovational outliers
- 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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