Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function

DOI10.1007/S00180-022-01293-6MaRDI QIDQ6567406zbMATH OpenFDO

Authors Lanyu Xiong, Fukang Zhu

Publication date 5 July 2024

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S00180-022-01293-6

zbMATH Keywords

integer-valued GARCH modelone-parameter exponential familyoutliersrobust estimationtime series of counts

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Cites work

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Cited in

(3)

• Softplus negative binomial network autoregression
• Negative binomial community network vector autoregression for multivariate integer-valued time series
• Robust estimation for bounded bivariate time series models of counts based on density power divergence

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