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We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters,… Click to show full abstract
We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters, but we impose nonparametric smoothness conditions. We propose a least squares estimator for this function and show that it is consistent with a rate that we conjecture to be nearly optimal.
Keywords:
least squares;
integer valued;
squares estimator;
valued garch;
consistency nonparametric
Journal Title: Journal of Nonparametric Statistics
Year Published: 2022
Link to full text (if available)
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Journal Title: Journal of Nonparametric Statistics
Year Published: 2022
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!