Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
From MaRDI portal
Publication:511583
DOI10.1016/j.spl.2016.11.002zbMath1417.62241OpenAlexW2566497099MaRDI QIDQ511583
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)
Related Items
Minimum density power divergence estimator for negative binomial integer-valued GARCH models, Test of parameter changes in a class of observation-driven models for count time series, Consistent model selection procedure for general integer-valued time series, A marginal moment matching approach for fitting endemic‐epidemic models to underreported disease surveillance counts, Testing for the Poisson-Tweedie distribution, Robust estimation for general integer-valued time series models, Mean targeting estimator for the integer-valued GARCH(1, 1) model, 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
Cites Work
- Correction to ``On weak dependence conditions for Poisson autoregressions
- On weak dependence conditions for Poisson autoregressions
- Inference and testing for structural change in general Poisson autoregressive models
- Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
- Weakly dependent chains with infinite memory
- GARCH processes: structure and estimation
- A new weak dependence condition and applications to moment inequalities
- Poisson QMLE of Count Time Series Models
- Theory and inference for a class of nonlinear models with application to time series of counts
- QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
- Poisson Autoregression
- A negative binomial model for time series of counts
- Integer-Valued GARCH Process
- A negative binomial integer-valued GARCH model