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On robust estimation of negative binomial INARCH models

Author

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  • Hanan Elsaied

    (Suez Canal University)

  • Roland Fried

    (TU Dortmund University)

Abstract

We discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust estimators, some of them being computationally fast modifications of methods of moments, and some rather efficient modifications of conditional maximum likelihood. These estimators are compared to related recent proposals using simulations. The usefulness of the proposed methods is illustrated by a real data example.

Suggested Citation

  • Hanan Elsaied & Roland Fried, 2021. "On robust estimation of negative binomial INARCH models," METRON, Springer;Sapienza Università di Roma, vol. 79(2), pages 137-158, August.
    • Handle: RePEc:spr:metron:v:79:y:2021:i:2:d:10.1007_s40300-021-00207-8
    DOI: 10.1007/s40300-021-00207-8
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    References listed on IDEAS

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    4. William H. Aeberhard & Eva Cantoni & Stephane Heritier, 2014. "Robust inference in the negative binomial regression model with an application to falls data," Biometrics, The International Biometric Society, vol. 70(4), pages 920-931, December.
    5. Bernard Garel & Marc Hallin, 1999. "Rank-Based Autoregressive Order Identification," ULB Institutional Repository 2013/127976, ULB -- Universite Libre de Bruxelles.
    6. Hanan Elsaied & Roland Fried, 2014. "Robust Fitting Of Inarch Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 517-535, November.
    7. Aeneas Rooch & Ieva Zelo & Roland Fried, 2019. "Estimation methods for the LRD parameter under a change in the mean," Statistical Papers, Springer, vol. 60(1), pages 313-347, February.
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    12. Ieva Axt & Roland Fried, 2020. "On variance estimation under shifts in the mean," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 417-457, September.
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    Cited by:

    1. Fokianos, Konstantinos & Fried, Roland & Kharin, Yuriy & Voloshko, Valeriy, 2022. "Statistical analysis of multivariate discrete-valued time series," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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