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

DOI10.1007/S11203-015-9131-ZzbMath1349.62409OpenAlexW2275965530MaRDI QIDQ329062

Stella Kitromilidou, Konstantinos Fokianos

Publication date: 21 October 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-015-9131-z

zbMATH Keywords

interventionsestimating equationsrobust estimationautocorrelationgeneralized linear modelsinteger valued time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Minimum density power divergence estimator for negative binomial integer-valued GARCH models ⋮ Robust estimation for Poisson integer-valued GARCH models using a new hybrid loss ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ Robust quasi-likelihood estimation for the negative binomial integer-valued GARCH(1,1) model with an application to transaction counts

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