Robust estimation for general integer-valued time series models

DOI10.1007/s10463-019-00728-0zbMath1466.62388OpenAlexW2964345854WikidataQ127449561 ScholiaQ127449561MaRDI QIDQ2027220

Byungsoo Kim, Sangyeol Lee

Publication date: 25 May 2021

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-019-00728-0

zbMATH Keywords

robust estimationminimum density power divergence estimatorone-parameter exponential familygeneral integer-valued time seriesINGARCH models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

Related Items

Recent progress in parameter change test for integer-valued time series models, Minimum density power divergence estimator for negative binomial integer-valued GARCH models, Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme, A general procedure for change-point detection in multivariate time series, Exponential family QMLE-based CUSUM test for integer-valued time series, Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence, Modeling and inference for multivariate time series of counts based on the INGARCH scheme

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