Consistency of a nonparametric least squares estimator in integer-valued GARCH models
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DOI: 10.1080/10485252.2022.2043310
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… read more here.
Keywords: least squares; integer valued; squares estimator; valued garch ... See more keywords