Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions

DOI10.1007/S11203-015-9131-ZzbMATH Open1349.62409OpenAlexW2275965530MaRDI QIDQ329062FDOQ329062

Konstantinos Fokianos, Stella Kitromilidou

Publication date: 21 October 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-015-9131-z

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zbMATH Keywords

autocorrelationestimating equationsgeneralized linear modelsrobust estimationinterventionsinteger valued time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (5)

• 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
• Statistical analysis of multivariate discrete-valued time series
• Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
• 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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