Consistency of a nonparametric least squares estimator in integer-valued GARCH models

Maximilian Wechsung and Michael H. Neumann

Journal of Nonparametric Statistics, 2022, vol. 34, issue 2, 491-519

Abstract: We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters. Instead we impose nonparametric smoothness conditions. We propose a least squares estimator for this function and show that it is consistent with a rate that we conjecture to be nearly optimal.

Date: 2022
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DOI: 10.1080/10485252.2022.2043310

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