Robust estimation methods for a class of log-linear count time series models

DOI10.1080/00949655.2015.1035271MaRDI QIDQ5222370zbMATH OpenOpenAlexFDO

Authors Stella Kitromilidou, Konstantinos Fokianos

Publication date 1 April 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2015.1035271

zbMATH Keywords

simulationautocorrelationinterventionscanonical linktuning constantlog-linear Poisson modelconditionally unbiased bounded-influence estimatorMallows quasi-likelihood estimator

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 1808197 (Why is no real title available?)
• scientific article; zbMATH DE number 3945130 (Why is no real title available?)
• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
• scientific article; zbMATH DE number 846906 (Why is no real title available?)
• M-ESTIMATION IN GARCH MODELS
• A regression model for time series of counts
• Conditionally Unbiased Bounded-Influence Estimation in General Regression Models, with Applications to Generalized Linear Models
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Interventions in log-linear Poisson autoregression
• Log-linear Poisson autoregression
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• Observation-driven models for Poisson counts
• Poisson autoregression
• Robust Inference for Generalized Linear Models
• Robust estimates for GARCH models
• Robust estimates for arch processes
• Robust fitting of INARCH models
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Time series of count data: Modeling, estimation and diagnostics
• Truncated Poisson Regression for Time Series of Counts

Cited in

(10)

• Event count estimation
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Robust estimation for general integer-valued time series models
• Statistical analysis of multivariate discrete-valued time series
• 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 for panel count data with informative observation times
• Robust fitting of INARCH models
• Observation-driven exponential smoothing

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