Estimation and testing for a Poisson autoregressive model

DOI10.1007/s00184-009-0274-zzbMath1206.62155OpenAlexW2028281658MaRDI QIDQ626420

Fukang Zhu, De-Hui Wang

Publication date: 18 February 2011

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-009-0274-z

zbMATH Keywords

asymptoticsergodicitymaximum likelihood estimatorweighted least squares estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03)

Related Items (24)

Empirical likelihood-based inference in Poisson autoregressive model with conditional moment restrictions ⋮ Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes ⋮ Influence diagnostics in log-linear integer-valued GARCH models ⋮ Bivariate binomial autoregressive models ⋮ Softplus INGARCH Model ⋮ Parameter Change Test for Poisson Autoregressive Models ⋮ Poisson autoregressive process modeling via the penalized conditional maximum likelihood procedure ⋮ Testing the compounding structure of the CP-INARCH model ⋮ A model for integer-valued time series with conditional overdispersion ⋮ Modeling time series of counts with COM-Poisson INGARCH models ⋮ Detecting overdispersion in INARCH(1) processes ⋮ Doubly-inflated Poisson INGARCH models for count time series ⋮ Phase II monitoring of autocorrelated attributed social networks based on generalized estimating equations ⋮ Unnamed Item ⋮ Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models ⋮ Zero-inflated Poisson and negative binomial integer-valued GARCH models ⋮ A Poisson INAR(1) model with serially dependent innovations ⋮ Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss ⋮ A mixture integer-valued ARCH model ⋮ ROBUST FITTING OF INARCH MODELS ⋮ Empirical likelihood for linear and log-linear INGARCH models ⋮ Conditional heteroscedasticity test for Poisson autoregressive model ⋮ Mean targeting estimator for the integer-valued GARCH(1, 1) model ⋮ A negative binomial integer-valued GARCH model

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Markov chains and stochastic stability
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
• Estimation in nonlinear time series models
• \(L_{p}\)-estimators in ARCH models
• Markov chains and invariant probabilities
• Estimation in conditionally heteroscedatic time series models.
• Observation-driven models for Poisson counts
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Minimum alpha-divergence estimation for arch models
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Integer-Valued GARCH Process
• Local Estimation in AR Models with Nonparametric ARCH Errors
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Estimation and testing for the parameters of ARCH(q) under ordered restriction
• A Score Test Against One-Sided Alternatives
• Estimating functions for nonlinear time series models

This page was built for publication: Estimation and testing for a Poisson autoregressive model