Empirical likelihood for linear and log-linear INGARCH models

DOI10.1016/j.jkss.2014.06.004zbMath1311.62158OpenAlexW1969924999MaRDI QIDQ2513797

Fukang Zhu, De-Hui Wang

Publication date: 29 January 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.06.004

zbMATH Keywords

GARCHempirical likelihoodtime series of countsPoisson

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric tolerance and confidence regions (62G15)

Related Items (15)

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Cites Work

• Time series analysis: Methods and applications
• Estimation and testing for a Poisson autoregressive model
• Log-linear Poisson autoregression
• Blockwise empirical likelihood for time series of counts
• Absolute regularity and ergodicity of Poisson count processes
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• Empirical likelihood and general estimating equations
• Rejoinder on: Some recent theory for autoregressive count time series
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• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Poisson Autoregression
• The Empirical Likelihood for First-Order Random Coefficient Integer-Valued Autoregressive Processes
• EMPIRICAL LIKELIHOOD FOR GARCH MODELS
• Integer-Valued GARCH Process
• Empirical likelihood ratio confidence intervals for a single functional
• Empirical likelihood inference for random coefficient INAR(p) process
• TAIL INDEX OF AN AR(1) MODEL WITH ARCH(1) ERRORS

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