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• W2151540825 abstract "This article discusses the modelling of integer-valued time series with overdispersion and potential extreme observations. For the problem, a negative binomial INGARCH model, a generalization of the Poisson INGARCH model, is proposed and stationarity conditions are given as well as the autocorrelation function. For estimation, we present three approaches with the focus on the maximum likelihood approach. Some results from numerical studies are presented and indicate that the proposed methodology performs better than the Poisson and double Poisson model-based methods." @default.
• W2151540825 created "2016-06-24" @default.
• W2151540825 creator A5046114671 @default.
• W2151540825 date "2010-09-02" @default.
• W2151540825 modified "2023-10-14" @default.
• W2151540825 title "A negative binomial integer-valued GARCH model" @default.
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• W2151540825 doi "https://doi.org/10.1111/j.1467-9892.2010.00684.x" @default.
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