Signed compound poisson integer-valued GARCH processes

Esmeralda Gonçalves and Nazaré Mendes-Lopes

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 22, 5468-5492

Abstract: We propose signed compound Poisson integer-valued GARCH processes for the modeling of the difference of count time series data. We investigate the theoretical properties of these processes and we state their ergodicity and stationarity under mild conditions. We discuss the conditional maximum likelihood estimator when the series appearing in the difference are INGARCH with geometric distribution and explore its finite sample properties in a simulation study. Two real data examples illustrate this methodology.

Date: 2020
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DOI: 10.1080/03610926.2019.1619767

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