Zero-modified Skellam integer-valued GARCH model

DOI10.12460/J.ISSN.1001-4268.APS.2024.2022093MaRDI QIDQ7011665zbMATH OpenFDO

Authors Yue Ma, Fukang Zhu

Publication date 18 March 2025

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.12460/J.ISSN.1001-4268.APS.2024.2022093

zbMATH Keywords

\(\mathbb{Z}\)-valued time seriesconditional least squares estimationconditional maximum likelihood estimationINGARCH modelZMS distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Cites work

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• Signed compound poisson integer-valued GARCH processes
• Theory and inference for a class of nonlinear models with application to time series of counts
• Zero-inflated Poisson and negative binomial integer-valued GARCH models

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