Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space

DOI10.1080/03610926.2018.1476710OpenAlexW2901676840WikidataQ128880384 ScholiaQ128880384MaRDI QIDQ5866080

Xiaoyin Wang, Yunwei Cui

Publication date: 10 June 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2018.1476710

zbMATH Keywords

coefficient nullity testnegative binomial INGARCH\((p, q)\) modelsparameters at the boundary

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Test of parameter changes in a class of observation-driven models for count time series

Cites Work

• On weak dependence conditions for Poisson autoregressions
• Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
• Poisson QMLE of Count Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• A negative binomial model for time series of counts
• Integer-Valued GARCH Process
• A negative binomial integer-valued GARCH model
• The Lindeberg-Levy Theorem for Martingales

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