Negative Binomial Quasi‐Likelihood Inference for General Integer‐Valued Time Series Models

DOI10.1111/JTSA.12277zbMath1392.62259OpenAlexW2586649356MaRDI QIDQ4606962

Sara Bendjeddou, Nassim Touche, Abdelhakim Aknouche

Publication date: 9 March 2018

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/76574/1/MPRA_paper_76574.pdf

zbMATH Keywords

integer-valued time series modelsconsistency and asymptotic normalityinteger-valued GARCHgeometric QMLEinteger-valued ARPoisson QMLEprofile negative binomial QMLEtwo-stage negative binomial QMLE

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

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