Marginal likelihood estimation for the negative binomial INGARCH model

DOI10.1080/03610918.2022.2057542MaRDI QIDQ6562733FDOQ6562733

Authors: Jian Pei, Fukang Zhu 

Publication date: 27 June 2024

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

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Poisson QMLE of count time series models
• Theory and inference for a class of nonlinear models with application to time series of counts
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Poisson autoregression
• Integer-Valued GARCH Process
• Small-sample estimation of negative binomial dispersion, with applications to SAGE data
• A negative binomial integer-valued GARCH model
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Threshold negative binomial autoregressive model
• General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator

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