Article ID Journal Published Year Pages File Type
1154171 Statistics & Probability Letters 2016 7 Pages PDF
Abstract

We establish the strong consistency and asymptotic normality of the conditional maximum likelihood estimator (CMLE) for INGARCH(p,q)(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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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On conditional maximum likelihood estimation for INGARCH(p,q)(p,q) models
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