Asymptotic normality and parameter change test for bivariate Poisson INGARCH models
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DOI: 10.1007/s11749-016-0510-6
Abstract: In this paper, we consider the problem of testing for a parameter change in bivariate Poisson integer-valued GARCH(1, 1) models, constructed via a trivariate reduction method of independent Poisson variables. We verify that the conditional… read more here.
Keywords: bivariate poisson; parameter change; poisson;
Robust Estimation for Bivariate Poisson INGARCH Models
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DOI: 10.3390/e23030367
Abstract: In the integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) models, parameter estimation is conventionally based on the conditional maximum likelihood estimator (CMLE). However, because the CMLE is sensitive to outliers, we consider a robust estimation method… read more here.
Keywords: robust estimation; poisson ingarch; ingarch models; bivariate poisson ... See more keywords