Minimum density power divergence estimator for negative binomial integer-valued GARCH models (Q2141738)

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English	Minimum density power divergence estimator for negative binomial integer-valued GARCH models	scientific article

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instance of

scholarly article

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title

Minimum density power divergence estimator for negative binomial integer-valued GARCH models (English)

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Communications in Mathematics and Statistics

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publication date

25 May 2022

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zbMATH Keywords

integer-valued GARCH model

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minimum density power divergence estimator

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negative binomial distribution

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robust estimation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s40304-020-00221-8

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cites work

Robust inference in the negative binomial regression model with an application to falls data

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Robust and efficient estimation by minimising a density power divergence

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The Lindeberg-Levy Theorem for Martingales

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Robust Inference for Generalized Linear Models

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Generalized Poisson autoregressive models for time series of counts

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Binomial AR(1) processes with innovational outliers

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QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS

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On count time series prediction

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Conditional maximum likelihood estimation for a class of observation-driven time series models for count data

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Predictive Model Assessment for Count Data

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ROBUST FITTING OF INARCH MODELS

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Integer-Valued GARCH Process

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Poisson Autoregression

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Retrospective Bayesian outlier detection in INGARCH series

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Minimum density power divergence estimator for Poisson autoregressive models

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Robust estimation for zero-inflated poisson autoregressive models based on density power divergence

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Robust estimation for general integer-valued time series models

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Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions

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Robust closed-form estimators for the integer-valued GARCH(1,1) model

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Threshold negative binomial autoregressive model

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Random environment binomial thinning integer-valued autoregressive process with Poisson or geometric marginal

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Robust statistical inference based on the \(C\)-divergence family

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A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter

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Modeling time series of count with excess zeros and ones based on INAR(1) model with zero-and-one inflated Poisson innovations

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Thinning-based models in the analysis of integer-valued time series: a review

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Dual divergence estimators and tests: robustness results

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Robust estimators for generalized linear models

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Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts

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Bivariate first-order random coefficient integer-valued autoregressive processes

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Robust-BD estimation and inference for varying-dimensional general linear models

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A negative binomial integer-valued GARCH model

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Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models

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Zero-inflated Poisson and negative binomial integer-valued GARCH models

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Local influence analysis for Poisson autoregression with an application to stock transaction data

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Identifiers

zbMATH Open document ID

1493.62540

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DOI

10.1007/s40304-020-00221-8

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2141738