کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5129860 1489856 2017 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
چکیده انگلیسی

This paper investigates the statistical inference for a class of observation-driven time series models of count data based on the conditional maximum likelihood estimator (CMLE), where the conditional distribution of the observed count given a state process is from the one-parameter exponential family. Under certain regularity conditions, the strong consistency and asymptotic normality of the CMLE of the misspecified likelihood function are established.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 123, April 2017, Pages 193-201
نویسندگان
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