A Modified Multiplicative Thinning-Based INARCH Model: Properties, Saddlepoint Maximum Likelihood Estimation, and Application

In this article, we propose a modified multiplicative thinning-based integer-valued autoregressive conditional heteroscedasticity model and use the saddlepoint maximum likelihood estimation (SPMLE) method to estimate parameters. A simulation study is given to show a better performance of the SPMLE....

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Detalles Bibliográficos
Autores principales: Xu, Yue, Li, Qi, Zhu, Fukang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2023
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9954803/
https://www.ncbi.nlm.nih.gov/pubmed/36832574
http://dx.doi.org/10.3390/e25020207

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9954803/
https://www.ncbi.nlm.nih.gov/pubmed/36832574
http://dx.doi.org/10.3390/e25020207

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