Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss

DOI10.1007/S11424-020-9344-0zbMATH Open1476.62189OpenAlexW3118293852MaRDI QIDQ2235634FDOQ2235634

Authors: Qi Li, Huaping Chen, Fukang Zhu 

Publication date: 21 October 2021

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-020-9344-0

Recommendations

• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Robust estimation for general integer-valued time series models
• Robust fitting of INARCH models
• Integer-Valued GARCH Process
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models

zbMATH Keywords

time series of counts\(M\)-estimationloss functiontuning parameter

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Time series: theory and methods.
• Predictive model assessment for count data
• Asymptotic theory of statistical inference for time series
• Theory and inference for a class of nonlinear models with application to time series of counts
• Poisson autoregression
• Integer-Valued GARCH Process
• Robust Inference for Generalized Linear Models
• ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
• Estimation and testing for a Poisson autoregressive model
• Robust Variable Selection With Exponential Squared Loss
• Dual divergence estimators and tests: robustness results
• On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• M-ESTIMATION IN GARCH MODELS
• Robust fitting of INARCH models
• Robust estimation methods for a class of log-linear count time series models
• A negative binomial integer-valued GARCH model
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• A data-based method for selecting tuning parameters in minimum distance estimators
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Minimum density power divergence estimator for Poisson autoregressive models
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• Empirical likelihood for linear and log-linear INGARCH models

Cited In (7)

• On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
• Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
• Robust estimation for general integer-valued time series models
• Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function

This page was built for publication: Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2235634)