Conditional maximum likelihood estimation for a class of observation-driven time series models for count data

DOI10.1016/j.spl.2016.11.002zbMath1417.62241OpenAlexW2566497099MaRDI QIDQ511583

Qi Zheng, Yunwei Cui

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

zbMATH Keywords

time series of countsobservation-driven modelsINGARCH\((p,q)\) modelsone-parameter exponential family

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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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

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