Minimum density power divergence estimator for Poisson autoregressive models

Jiwon Kang and Sangyeol Lee

Computational Statistics & Data Analysis, 2014, vol. 80, issue C, 44-56

Abstract: 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.

Keywords: Density-based divergence measures; Robust estimation; Poisson autoregressive model; Integer-valued GARCH model; Consistency; Asymptotic normality (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:80:y:2014:i:c:p:44-56

DOI: 10.1016/j.csda.2014.06.009

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