| Autor: |
Andrews, Divya Kuttenchalil, Balakrishna, N. |
| Rok vydání: |
2024 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
This paper introduces an integer-valued generalized autoregressive conditional heteroskedasticity (INGARCH) model based on the novel geometric distribution and discusses some of its properties. The parameter estimation problem of the models are studied by conditional maximum likelihood and Bayesian approach using Hamiltonian Monte Carlo (HMC) algorithm. The results of the simulation studies and real data analysis affirm the good performance of the estimators and the model. |
| Databáze: |
arXiv |
| Externí odkaz: |
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