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

consistency and asymptotic normalitygeometric QMLEinteger-valued ARinteger-valued GARCHinteger-valued time series modelsPoisson QMLEprofile negative binomial QMLEtwo-stage negative binomial QMLE

Mathematics Subject Classification ID

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

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• Count and duration time series with equal conditional stochastic and mean orders
• Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
• Test for Conditional Variance of Integer-Valued Time Series
• The negative binomial process: a tractable model with composite likelihood-based inference
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• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Forecasting transaction counts with integer-valued GARCH models
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
• A general procedure for change-point detection in multivariate time series
• Exponential family QMLE-based CUSUM test for integer-valued time series
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
• A multiplicative thinning‐based integer‐valued GARCH model
• On an integer-valued stochastic intensity model for time series of counts
• Non-Parametric Estimation for Locally Stationary Integer-Valued Processes
• Random multiplication versus random sum: autoregressive-like models with integer-valued random inputs
• Time-varying dispersion integer-valued GARCH models
• Tests for a structural break for nonnegative integer-valued time series
• A beta prime ARMA model for positive time series
• On robust estimation of negative binomial INARCH models

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