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Quadratic estimating functions for Nbingarch model

Mohamed, Ibrahim and Mohamad, Nurul Najihah and Thavaneswaran, A. and Ng, Kok Hau (2019) Quadratic estimating functions for Nbingarch model. In: 62nd ISI World Statistics Congress 2019, 18th until 23rd August 2019, Kuala Lumpur. (Unpublished)

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Time series of counts has been widely used in many real-world applications. In this paper, we derive the quadratic estimating functions for negative binomial GARCH, known as NBINGARCH (p,q) model. Specifically, we derive the optimal function of NBINGARCH(1,1) and obtain the estimated parameters of interest via simulation. We show that the performance of the quadratic estimating functions method is superior compared to estimating functions and maximum likelihood methods. For illustration, we fit the NBINGARCH(1,1) on the poliomyelitis cases in the United State from 1970 to 1983.

Item Type: Conference or Workshop Item (Invited Papers)
Additional Information: 7795/81077
Uncontrolled Keywords: Integer-valued time series, quadratic estimating functions, moment properties
Subjects: Q Science > QA Mathematics > QA276 Mathematical Statistics
Kulliyyahs/Centres/Divisions/Institutes (Can select more than one option. Press CONTROL button): Kulliyyah of Science > Department of Computational and Theoretical Sciences
Kulliyyah of Science
Depositing User: Dr Nurul Najihah Mohamad
Date Deposited: 16 Jul 2020 10:32
Last Modified: 16 Jul 2020 10:32
URI: http://irep.iium.edu.my/id/eprint/81077

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