Robust fitting of INARCH models

DOI10.1111/JTSA.12079MaRDI QIDQ5176861zbMATH OpenOpenAlexFDO

Authors Hanan Elsaied, Roland Fried

Publication date 4 March 2015

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/jtsa.12079

zbMATH Keywords

additive outlierscount dataGLM modelsHuber M-estimatorINARCH modelsPoisson modelrobustnesstransient shiftsTukey M-estimator

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Recommendations

• On robust estimation of negative binomial INARCH models
• Flexible and Robust Mixed Poisson INGARCH Models
• Robust estimation methods for a class of log-linear count time series models
• The INARCH(1) model for overdispersed time series of counts
• Poisson QMLE of count time series models

Cites work

• Alternatives to the Median Absolute Deviation
• Approximation Theorems of Mathematical Statistics
• Estimation and testing for a Poisson autoregressive model
• Estimation in conditionally heteroscedatic time series models.
• Generalized autoregressive conditional heteroscedasticity
• Highly robust estimation of the autocovariance function
• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• M-estimation for discrete data: Asymptotic distribution theory and implications
• On the law of large numbers for (geometrically) ergodic Markov chains
• On weak dependence conditions for Poisson autoregressions
• Poisson autoregression
• Properties of robust m-estimators for poisson and negative binomial data^∗
• Robust Inference for Generalized Linear Models
• Robust Statistics
• Some recent progress in count time series
• Tukey's M-estimator of the Poisson parameter with a special focus on small means

Cited in

(13)

• Influence diagnostics in log-linear integer-valued GARCH models
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• Statistical analysis of multivariate discrete-valued time series
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss
• Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts
• Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions
• Robust estimation methods for a class of log-linear count time series models
• Retrospective Bayesian outlier detection in INGARCH series
• Observation-driven exponential smoothing
• Quantile regression estimation for Poisson autoregressive models
• Density power divergence estimator for general integer-valued time series with exogenous covariates
• On robust estimation of negative binomial INARCH models

Describes a project that uses

Uses Software

• robustbase

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