Minimum density power divergence estimator for Poisson autoregressive models

DOI10.1016/j.csda.2014.06.009zbMath1506.62089OpenAlexW2048766146MaRDI QIDQ1623690

Sangyeol Lee, Jiwon Kang

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2014.06.009

zbMATH Keywords

consistencyasymptotic normalityrobust estimationPoisson autoregressive modeldensity-based divergence measuresinteger-valued GARCH model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Robustness and adaptive procedures (parametric inference) (62F35)

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Robust parametric inference for finite Markov chains ⋮ The logarithmic super divergence and asymptotic inference properties ⋮ A robust approach for testing parameter change in Poisson autoregressive models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Minimum density power divergence estimator for negative binomial integer-valued GARCH models ⋮ Test for parameter change in the presence of outliers: the density power divergence-based approach ⋮ General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications ⋮ Robust estimation in stochastic frontier models ⋮ Monitoring parameter change for bivariate time series models of counts ⋮ Robust estimation for zero-inflated poisson autoregressive models based on density power divergence ⋮ Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence ⋮ Hysteretic Poisson INGARCH model for integer-valued time series ⋮ Robust parameter change test for Poisson autoregressive models ⋮ Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss ⋮ Robust estimation for general integer-valued time series models ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme ⋮ On the ‘optimal’ density power divergence tuning parameter

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