Minimum density power divergence estimator for Poisson autoregressive models

The robust estimation for Poisson autoregressive models is studied. As a robust estimator, a minimum density power divergence estimator (MDPDE) is considered. It is shown that under regularity conditions, the MDPDE is strongly consistent and asymptotically normal. Simulation results are provided for illustration. A real data analysis is implemented for the polio incidence data.

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Year of publication:	2014
Authors:	Kang, Jiwon ; Lee, Sangyeol
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 80.2014, C, p. 44-56
Publisher:	Elsevier
Subject:	Density-based divergence measures \| Robust estimation \| Poisson autoregressive model \| Integer-valued GARCH model \| Consistency \| Asymptotic normality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010906929