Robust Estimation for Bivariate Poisson INGARCH Models

Robust Estimation for Bivariate Poisson INGARCH Models

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...

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Bibliographic Details
Main Authors: Byungsoo Kim, Sangyeol Lee, Dongwon Kim
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Entropy
Subjects:
integer-valued time series
bivariate Poisson INGARCH model
outliers
robust estimation
minimum density power divergence estimator
Online Access:https://www.mdpi.com/1099-4300/23/3/367

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