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