A New Soft-Clipping Discrete Beta GARCH Model and Its Application on Measles Infection

Huaping Chen ()
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Huaping Chen: School of Mathematics and Statistics, Henan University, Kaifeng 475004, China

Stats, 2023, vol. 6, issue 1, 1-19

Abstract: In this paper, we develop a novel soft-clipping discrete beta GARCH (ScDBGARCH) model that provides an available method to model bounded time series with under-dispersion, equi-dispersion or over-dispersion. The new model not only allows positive dependence, but also negative dependence. The stochastic properties of the models are established, and these results are, in turn, used in the analysis of the asymptotic properties of the conditional maximum likelihood (CML) estimator of the new model. In addition, we apply the new model to measles infection to show its improved performance.

Keywords: discrete beta distribution; bounded time series; ScDBGARCH model; negative dependence; stochastic property (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2023
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