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On conditional maximum likelihood estimation for INGARCH(p,q) models

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  • Cui, Yunwei
  • Wu, Rongning

Abstract

We establish the strong consistency and asymptotic normality of the conditional maximum likelihood estimator (CMLE) for INGARCH(p,q) models. Moreover, we develop an efficient algorithm to compute the estimated information matrix of the CMLE so that statistical inferences are readily to be conducted.

Suggested Citation

  • Cui, Yunwei & Wu, Rongning, 2016. "On conditional maximum likelihood estimation for INGARCH(p,q) models," Statistics & Probability Letters, Elsevier, vol. 118(C), pages 1-7.
    • Handle: RePEc:eee:stapro:v:118:y:2016:i:c:p:1-7
    DOI: 10.1016/j.spl.2016.05.023
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    References listed on IDEAS

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    Cited by:

    1. Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.

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