Robust closed-form estimators for the integer-valued GARCH(1,1)model

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：dvrgbedr544y4d

【摘要】

：

【作者】

：

Fukang Zhu

【机构】

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School of Mathematics,Jilin University,Changchun 130012,China

【出处】

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上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Autocorrelation function Closed-form estimator Robustness Time series of counts

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　　A closed-form estimator and its several robust versions for the integer-valued GARCH(1,1)model are proposed.These estimators are easy to implement and do not require the use of any numerical optimization procedure.Consistency and asymptotic normality for the non-robust closed-form estimator is established.

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Robust closed-form estimators for the integer-valued GARCH(1,1)model

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