Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
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Cites work
- M-ESTIMATION IN GARCH MODELS
- A data-based method for selecting tuning parameters in minimum distance estimators
- A negative binomial integer-valued GARCH model
- ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
- Asymptotic theory of statistical inference for time series
- Dual divergence estimators and tests: robustness results
- Empirical likelihood for linear and log-linear INGARCH models
- Estimation and testing for a Poisson autoregressive model
- Integer-Valued GARCH Process
- Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
- Minimum density power divergence estimator for Poisson autoregressive models
- Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
- On conditional maximum likelihood estimation for INGARCH(p,q) models
- Poisson autoregression
- Predictive model assessment for count data
- Robust Inference for Generalized Linear Models
- Robust Variable Selection With Exponential Squared Loss
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Robust estimation for zero-inflated poisson autoregressive models based on density power divergence
- Robust estimation methods for a class of log-linear count time series models
- Robust fitting of INARCH models
- Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
- Theory and inference for a class of nonlinear models with application to time series of counts
- Time series: theory and methods.
- Zero-inflated Poisson and negative binomial integer-valued GARCH models
Cited in
(7)- On MCMC sampling in random coefficients self-exciting integer-valued threshold autoregressive processes
- Robust estimation for general integer-valued autoregressive models based on the exponential-polynomial divergence
- Robust estimation for general integer-valued time series models
- Robust closed-form estimators for the integer-valued GARCH(1,1) model
- Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme
- \( \mathbb{Z} \)-valued time series: models, properties and comparison
- Robust estimation for the one-parameter exponential family integer-valued GARCH(1,1) models based on a modified Tukey's biweight function
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