Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
DOI10.1016/J.SPL.2016.11.002zbMATH Open1417.62241OpenAlexW2566497099MaRDI QIDQ511583FDOQ511583
Publication date: 21 February 2017
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.11.002
time series of countsobservation-driven modelsINGARCH\((p,q)\) modelsone-parameter exponential family
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
Cites Work
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- Theory and inference for a class of nonlinear models with application to time series of counts
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- Poisson Autoregression
- A negative binomial model for time series of counts
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- Integer-Valued GARCH Process
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- A negative binomial integer-valued GARCH model
- Correction to ``On weak dependence conditions for Poisson autoregressions
- Inference and testing for structural change in general Poisson autoregressive models
Cited In (13)
- Consistent model selection procedure for general integer-valued time series
- 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
- Empirical assessment of the maximum likelihood estimator quality in a parametric counting process model for recurrent events
- A marginal moment matching approach for fitting endemic‐epidemic models to underreported disease surveillance counts
- Minimum density power divergence estimator for negative binomial integer-valued GARCH models
- Robust estimation for general integer-valued time series models
- Blockwise empirical likelihood for time series of counts
- Mean targeting estimator for the integer-valued GARCH(1, 1) model
- Testing for the Poisson-Tweedie distribution
- Soft-clipping INGARCH models for time series of bounded counts
- Test of parameter changes in a class of observation-driven models for count time series
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
- Count network autoregression
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