A multiplicative thinning‐based integer‐valued GARCH model
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Publication:6148341
DOI10.1111/jtsa.12682MaRDI QIDQ6148341
Abdelhakim Aknouche, Manuel G. Scotto
Publication date: 11 January 2024
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
INGARCH modelinteger-valued time seriesINAR modelACD modeltwo-stage weighted least squaresmultiplicative error model (MEM)
Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)
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