Poisson QMLE of Count Time Series Models

DOI10.1111/jtsa.12167zbMath1381.62244OpenAlexW1926987184MaRDI QIDQ2802909

Ali Ahmad, Christian Francq

Publication date: 3 May 2016

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.12210/21599

zbMATH Keywords

time series of countsboundary of the parameter spaceconsistency and asymptotic normalitynon-normal asymptotic distributioninteger-valued AR and GARCH modelsPoisson quasi-maximum likelihood estimator

Mathematics Subject Classification ID

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

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