ROBUST FITTING OF INARCH MODELS
Author:
Affiliation:
1. Department of Statistics, Faculty of Commerce; Suez Canal University; Ismailia Egypt
2. Department of Statistics; TU Dortmund University; Dortmund Germany
Publisher
Wiley
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/jtsa.12079/fullpdf
Reference20 articles.
1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
2. Properties of robust M-estimators for Poisson and negative binomial data;Cadigan;Journal of Statistical Computation and Simulation,2001
3. Robust inference for generalized linear models;Cantoni;Journal of the American Statistical Association,2001
4. On weak dependence conditions for Poisson autoregressions;Doukhan;Statistics and Probability Letters,2012
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