Zero-truncated compound Poisson integer-valued GARCH models for time series

DOI10.1080/02331888.2017.1410154zbMath1440.62329OpenAlexW2773020434MaRDI QIDQ4567921

Nazaré Mendes Lopes, Esmeralda Gonçalves

Publication date: 20 June 2018

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/44960

zbMATH Keywords

compound Poisson distributionzero-truncated count time series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Zero truncated Poisson integer-valued AR\((1)\) model
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Poisson QMLE of Count Time Series Models
• Pseudo Maximum Likelihood Methods: Theory
• A negative binomial integer-valued GARCH model
• Infinitely Divisible Distributions in Integer‐Valued Garch Models
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Zero-inflated compound Poisson distributions in integer-valued GARCH models

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