On conditional maximum likelihood estimation for INGARCH\((p,q)\) models

DOI10.1016/j.spl.2016.05.023zbMath1351.62163OpenAlexW2438399938MaRDI QIDQ312066

Rongning Wu, Yunwei Cui

Publication date: 13 September 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.023

zbMATH Keywords

estimationinformation matrixcount time seriesINGARCH\((p,q)\) process

Mathematics Subject Classification ID

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

Related Items (3)

Softplus INGARCH 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

Cites Work

• Unnamed Item
• Modelling time series of counts with overdispersion
• On weak dependence conditions for Poisson autoregressions
• Generalized autoregressive conditional heteroscedasticity
• Universal residuals: a multivariate transformation
• Poisson QMLE of Count Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• Parameter Change Test for Poisson Autoregressive Models
• Poisson Autoregression
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Predictive Model Assessment for Count Data

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