Marginal likelihood estimation for the negative binomial INGARCH model

DOI10.1080/03610918.2022.2057542MaRDI QIDQ6562733zbMATH OpenFDO

Authors Jian Pei, Fukang Zhu

Publication date 27 June 2024

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2022.2057542

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A negative binomial integer-valued GARCH model
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
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• scientific article; zbMATH DE number 3998953 (Why is no real title available?)
• Integer-Valued GARCH Process
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Poisson autoregression
• Poisson QMLE of count time series models
• Quasi-likelihood inference for negative binomial time series models
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Small-sample estimation of negative binomial dispersion, with applications to SAGE data
• Theory and inference for a class of nonlinear models with application to time series of counts
• Threshold negative binomial autoregressive model
• Zero-inflated Poisson and negative binomial integer-valued GARCH models

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