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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...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2021
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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. |
format | Online Article Text |
id | pubmed-8003669 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2021 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
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 |
work_keys_str_mv | AT kimbyungsoo robustestimationforbivariatepoissoningarchmodels AT leesangyeol robustestimationforbivariatepoissoningarchmodels AT kimdongwon robustestimationforbivariatepoissoningarchmodels |