Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
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Publication:511583
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Cites work
- A negative binomial integer-valued GARCH model
- A negative binomial model for time series of counts
- A new weak dependence condition and applications to moment inequalities
- Correction to ``On weak dependence conditions for Poisson autoregressions
- GARCH processes: structure and estimation
- Inference and testing for structural change in general Poisson autoregressive models
- Integer-Valued GARCH Process
- On weak dependence conditions for Poisson autoregressions
- Poisson QMLE of count time series models
- Poisson autoregression
- Quasi-likelihood inference for negative binomial time series models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Theory and inference for a class of nonlinear models with application to time series of counts
- Weakly dependent chains with infinite memory
Cited in
(27)- Estimating time series models for count data using efficient importance sampling
- Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space
- Partial Likelihood Inference For Time Series Following Generalized Linear Models
- General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator
- Testing for the Poisson-Tweedie distribution
- A marginal moment matching approach for fitting endemic‐epidemic models to underreported disease surveillance counts
- Count and duration time series with equal conditional stochastic and mean orders
- Empirical assessment of the maximum likelihood estimator quality in a parametric counting process model for recurrent events
- Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation
- Consistent model selection procedure for general integer-valued time series
- Maximum likelihood estimation for an observation driven model for Poisson counts
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
- Robust estimation for general integer-valued time series models
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
- Conditional-mean Multiplicative Operator Models for Count Time Series
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Observation-driven models for discrete-valued time series
- Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models
- Observation-driven models for Poisson counts
- On conditional maximum likelihood estimation for INGARCH\((p,q)\) models
- Feasible invertibility conditions and maximum likelihood estimation for observation-driven models
- Theory and inference for a class of nonlinear models with application to time series of counts
- Test of parameter changes in a class of observation-driven models for count time series
- Blockwise empirical likelihood for time series of counts
- Count network autoregression
- Soft-clipping INGARCH models for time series of bounded counts
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