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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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Detalles Bibliográficos
Autores principales: Kim, Byungsoo, Lee, Sangyeol, Kim, Dongwon
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8003669/
https://www.ncbi.nlm.nih.gov/pubmed/33808839
http://dx.doi.org/10.3390/e23030367
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author Kim, Byungsoo
Lee, Sangyeol
Kim, Dongwon
author_facet Kim, Byungsoo
Lee, Sangyeol
Kim, Dongwon
author_sort Kim, Byungsoo
collection PubMed
description 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.
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spelling pubmed-80036692021-03-28 Robust Estimation for Bivariate Poisson INGARCH Models Kim, Byungsoo Lee, Sangyeol Kim, Dongwon Entropy (Basel) Article 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. MDPI 2021-03-19 /pmc/articles/PMC8003669/ /pubmed/33808839 http://dx.doi.org/10.3390/e23030367 Text en © 2021 by the authors. https://creativecommons.org/licenses/by/4.0/Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) ).
spellingShingle Article
Kim, Byungsoo
Lee, Sangyeol
Kim, Dongwon
Robust Estimation for Bivariate Poisson INGARCH Models
title Robust Estimation for Bivariate Poisson INGARCH Models
title_full Robust Estimation for Bivariate Poisson INGARCH Models
title_fullStr Robust Estimation for Bivariate Poisson INGARCH Models
title_full_unstemmed Robust Estimation for Bivariate Poisson INGARCH Models
title_short Robust Estimation for Bivariate Poisson INGARCH Models
title_sort robust estimation for bivariate poisson ingarch models
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8003669/
https://www.ncbi.nlm.nih.gov/pubmed/33808839
http://dx.doi.org/10.3390/e23030367
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