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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....
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2023
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| Materias: | |
| 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 |