Minimum density power divergence estimator for negative binomial integer-valued GARCH models
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Publication:2141738
DOI10.1007/s40304-020-00221-8zbMath1493.62540OpenAlexW3154540502MaRDI QIDQ2141738
Publication date: 25 May 2022
Published in: Communications in Mathematics and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40304-020-00221-8
negative binomial distributionrobust estimationminimum density power divergence estimatorinteger-valued GARCH model
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme ⋮ Robust estimation for bivariate integer-valued autoregressive models based on minimum density power divergence ⋮ Periodic negative binomial INGARCH(1, 1) model ⋮ \( \mathbb{Z} \)-valued time series: models, properties and comparison
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