Robust Estimation for Bivariate Poisson INGARCH Models.
Entropy (Basel)
; 23(3)2021 Mar 19.
Article
em En
| MEDLINE
| ID: mdl-33808839
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 for bivariate Poisson INGARCH models while using the minimum density power divergence estimator. We demonstrate the proposed estimator is consistent and asymptotically normal under certain regularity conditions. Monte Carlo simulations are conducted to evaluate the performance of the estimator in the presence of outliers. Finally, a real data analysis using monthly count series of crimes in New South Wales and an artificial data example are provided as an illustration.
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Coleções:
01-internacional
Base de dados:
MEDLINE
Idioma:
En
Ano de publicação:
2021
Tipo de documento:
Article