Robust Estimation for Bivariate Poisson INGARCH Models

Autor:	Byungsoo Kim, Sangyeol Lee, Dongwon Kim
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	integer-valued time series bivariate Poisson INGARCH model outliers robust estimation minimum density power divergence estimator Science Astrophysics QB460-466 Physics QC1-999
Zdroj:	Entropy, Vol 23, Iss 3, p 367 (2021)
Druh dokumentu:	article
ISSN:	1099-4300
DOI:	10.3390/e23030367
Popis:	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.
Databáze:	Directory of Open Access Journals
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