On the Estimation for Compound Poisson Inarch Processes

On the Estimation for Compound Poisson Inarch Processes

Considering the wide class of discrete Compound Poisson INARCH models, introduced in [6], the main goal of this paper is to develop and compare parametric estimation procedures for first-order models, applicable without specifying the conditional distribution of the process. Therefore, twostep esti...

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Bibliographic Details
Main Authors: E. Gonçalves, N. Mendes-Lopes, F. Silva
Format: Article
Language:English
Published: Instituto Nacional de Estatística | Statistics Portugal 2021-06-01
Series:Revstat Statistical Journal
Subjects:
integer-valued time series
CP-INGARCH processes
estimation
Online Access:https://revstat.ine.pt/index.php/REVSTAT/article/view/340

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