ROBUST FITTING OF INARCH MODELS

DOI10.1111/jtsa.12079zbMath1311.62144OpenAlexW1595475757MaRDI QIDQ5176861

Hanan Elsaied, Roland Fried

Publication date: 4 March 2015

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12079

zbMATH Keywords

robustnesscount dataadditive outliersPoisson modelTukey M-estimatorHuber M-estimatortransient shiftsGLM modelsINARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

On robust estimation of negative binomial INARCH models, Influence diagnostics in log-linear integer-valued GARCH models, Minimum density power divergence estimator for negative binomial integer-valued GARCH models, Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions, Robust closed-form estimators for the integer-valued GARCH(1,1) model, Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss, Robust estimation methods for a class of log-linear count time series models, Statistical analysis of multivariate discrete-valued time series, Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts

Uses Software

• robustbase

Cites Work

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