Poisson QMLE of Count Time Series Models

Abstract : Regularity conditions are given for the consistency of the Poisson quasi-maximum likelihood estimator of the conditional mean parameter of a count time series model. The asymptotic distribution of the estimator is studied when the parameter belongs to the interior of the parameter space and when it lies at the boundary. Tests for the significance of the parameters and for constant conditional mean are deduced. Applications to specific integer-valued autoregressive (INAR) and integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models are considered. Numerical illustrations, Monte Carlo simulations and real data series are provided.
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Journal of Time Series Analysis, Wiley-Blackwell, 2015, 37 (3), pp.291--314. 〈10.1111/jtsa.12167〉
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Contributeur : Romain Boisselet <>
Soumis le : mardi 6 juin 2017 - 15:44:23
Dernière modification le : mardi 3 juillet 2018 - 11:22:23

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Ali Ahmad, Christian Francq. Poisson QMLE of Count Time Series Models. Journal of Time Series Analysis, Wiley-Blackwell, 2015, 37 (3), pp.291--314. 〈10.1111/jtsa.12167〉. 〈hal-01533548〉

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