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Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models

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  • Bader S. Almohaimeed

Abstract

This paper establishes the strong consistency and asymptotic normality of the negative binomial quasi-maximum likelihood estimator (NBQMLE) for a general class of integer-valued time series models whose parameters are periodic time-varying. This class of models is specified via its conditional mean, which is expressed as a periodic parametric function of (infinite) past observations. An illustration on specific models, namely the Poisson periodic INGARCH model, the negative binomial periodic INGARCH model, and the periodic INAR(1) model is given. In addition, the performance of the NBQMLE is assessed through a simulation study, and an application of the proposed methodology to a real dataset is provided.

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  • Bader S. Almohaimeed, 2024. "Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 53(2), pages 587-606, January.
    • Handle: RePEc:taf:lstaxx:v:53:y:2024:i:2:p:587-606
    DOI: 10.1080/03610926.2022.2087881
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    Cited by:

    1. Aknouche, Abdelhakim, 2024. "Periodically homogeneous Markov chains: The discrete state space case," MPRA Paper 122287, University Library of Munich, Germany.

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