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Signed compound Poisson integer-valued GARCH processes
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Type: Preprint
National /International: International
Title: Signed compound Poisson integer-valued GARCH processes
Publication Date: 2018-10-01
Authors: - Esmeralda Gonçalves
- Nazaré Mendes-Lopes
Abstract: We propose signed compound Poisson integer-valued GARCH processes for the modelling of the difference of count time series data. We investigate the theoretical properties of these processes and we state their ergodicity and stationarity under mild conditions. We discuss the conditional maximum likelihood estimator when the series appearing in the difference are INGARCH with geometric distribution and explore its finite sample properties in a simulation study. Two real data examples illustrate this methodology.
Institution: DMUC 18-39
Online version: http://www.mat.uc.pt...prints/eng_2018.html
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