On conditional maximum likelihood estimation for INGARCH(p,q) models

Yunwei Cui and Rongning Wu

Statistics & Probability Letters, 2016, vol. 118, issue C, 1-7

Abstract: We establish the strong consistency and asymptotic normality of the conditional maximum likelihood estimator (CMLE) for INGARCH(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.

Keywords: Count time series; Estimation; Information matrix; INGARCH(p,q) process (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.05.023

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