Zero-truncated compound Poisson integer-valued GARCH models for time series
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/44960 https://doi.org/10.1080/02331888.2017.1410154 |
Resumo: | Starting from the compound Poisson INGARCH models, we introduce in this paper a new family of integer-valued models suitable to describe count data without zeros that we name zero-truncated CP-INGARCH processes. For such class of models, a probabilistic study concerning moments existence, stationarity and ergodicity is developed. The conditional quasi-maximum likelihood method is introduced to consistently estimate the parameters of a wide zero-truncated compound Poisson subclass of models. The conditional maximum likelihood method is also used to estimate the parameters of ZTCP-INGARCH processes associated with well-specified conditional laws. A simulation study that compares some of those estimators and illustrates their finite distance behaviour as well as a real-data application conclude the paper. |
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7160 |
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Zero-truncated compound Poisson integer-valued GARCH models for time seriesStarting from the compound Poisson INGARCH models, we introduce in this paper a new family of integer-valued models suitable to describe count data without zeros that we name zero-truncated CP-INGARCH processes. For such class of models, a probabilistic study concerning moments existence, stationarity and ergodicity is developed. The conditional quasi-maximum likelihood method is introduced to consistently estimate the parameters of a wide zero-truncated compound Poisson subclass of models. The conditional maximum likelihood method is also used to estimate the parameters of ZTCP-INGARCH processes associated with well-specified conditional laws. A simulation study that compares some of those estimators and illustrates their finite distance behaviour as well as a real-data application conclude the paper.Taylor & Francis2017info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/44960http://hdl.handle.net/10316/44960https://doi.org/10.1080/02331888.2017.1410154https://doi.org/10.1080/02331888.2017.1410154enghttp://dx.doi.org/10.1080/02331888.2017.1410154Gonçalves, EsmeraldaMendes-Lopes, Nazaréinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:03:11Zoai:estudogeral.uc.pt:10316/44960Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:26.801291Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
title |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
spellingShingle |
Zero-truncated compound Poisson integer-valued GARCH models for time series Gonçalves, Esmeralda |
title_short |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
title_full |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
title_fullStr |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
title_full_unstemmed |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
title_sort |
Zero-truncated compound Poisson integer-valued GARCH models for time series |
author |
Gonçalves, Esmeralda |
author_facet |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré |
author_role |
author |
author2 |
Mendes-Lopes, Nazaré |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré |
description |
Starting from the compound Poisson INGARCH models, we introduce in this paper a new family of integer-valued models suitable to describe count data without zeros that we name zero-truncated CP-INGARCH processes. For such class of models, a probabilistic study concerning moments existence, stationarity and ergodicity is developed. The conditional quasi-maximum likelihood method is introduced to consistently estimate the parameters of a wide zero-truncated compound Poisson subclass of models. The conditional maximum likelihood method is also used to estimate the parameters of ZTCP-INGARCH processes associated with well-specified conditional laws. A simulation study that compares some of those estimators and illustrates their finite distance behaviour as well as a real-data application conclude the paper. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/44960 http://hdl.handle.net/10316/44960 https://doi.org/10.1080/02331888.2017.1410154 https://doi.org/10.1080/02331888.2017.1410154 |
url |
http://hdl.handle.net/10316/44960 https://doi.org/10.1080/02331888.2017.1410154 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://dx.doi.org/10.1080/02331888.2017.1410154 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Taylor & Francis |
publisher.none.fl_str_mv |
Taylor & Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799133821186080768 |