Negative binomial quasi-likelihood inference for general integer-valued time series models

DOI10.1111/JTSA.12277MaRDI QIDQ4606962zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, Sara Bendjeddou, Nassim Touche

Publication date 9 March 2018

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

Full work available at URL https://mpra.ub.uni-muenchen.de/76574/1/MPRA_paper_76574.pdf

zbMATH Keywords

integer-valued time series modelsconsistency and asymptotic normalityinteger-valued GARCHgeometric QMLEinteger-valued ARPoisson QMLEprofile negative binomial QMLEtwo-stage negative binomial QMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

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Cited in

(22)

• On robust estimation of negative binomial INARCH models
• A general procedure for change-point detection in multivariate time series
• Test for Conditional Variance of Integer-Valued Time Series
• Quasi-likelihood inference for negative binomial time series models
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
• Mean targeting estimation for integer-valued time series with application to change point test
• The negative binomial process: a tractable model with composite likelihood-based inference
• Forecasting transaction counts with integer-valued GARCH models
• A multiplicative thinning‐based integer‐valued GARCH model
• Count and duration time series with equal conditional stochastic and mean orders
• Poisson QMLE for change-point detection in general integer-valued time series models
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Applying the GLM variance assumption to overcome the scale-dependence of the negative binomial QGPML estimator
• On variance estimation in a negative binomial time series regression model
• A negative binomial model for time series of counts
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• GQL Versus Conditional GQL Inferences for Non-Stationary Time Series of Counts with Overdispersion
• Exponential family QMLE-based CUSUM test for integer-valued time series
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• A negative binomial integer-valued GARCH model
• Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
• Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

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