Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions

Stella Kitromilidou () and Konstantinos Fokianos ()
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Stella Kitromilidou: University of Cyprus
Konstantinos Fokianos: University of Cyprus

Statistical Inference for Stochastic Processes, 2016, vol. 19, issue 3, No 4, 337-361

Abstract: Abstract We consider the problems of robust estimation and testing for a log-linear model with feedback for the analysis of count time series. We study inference for contaminated data with transient shifts, level shifts and additive outliers. It turns out that the case of additive outliers deserves special attention. We propose a robust method for estimating the regression coefficients in the presence of interventions. The resulting robust estimators are asymptotically normally distributed under some regularity conditions. A robust score type test statistic is also examined. The methodology is applied to real and simulated data.

Keywords: Autocorrelation; Estimating equations; Generalized linear models; Integer valued time series; Interventions; Robust estimation; Primary 62M10; Secondary 62F35 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11203-015-9131-z

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