Brazilian Journal of Probability and Statistics

A Skellam GARCH model

Ghadah A. Alomani, Abdulhamid A. Alzaid, and Maha A. Omair

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Abstract

This paper considers the modeling of nonstationary integer valued time series with conditional heteroskedasticity using Skellam distribution. Two approaches of estimation of the model’s parameters are treated and discussed. The obtained results are verified through some numerical simulation. In addition, the proposed model is applied to real time series.

Article information

Source
Braz. J. Probab. Stat., Volume 32, Number 1 (2018), 200-214.

Dates
Received: February 2015
Accepted: October 2016
First available in Project Euclid: 3 March 2018

Permanent link to this document
https://projecteuclid.org/euclid.bjps/1520046141

Digital Object Identifier
doi:10.1214/16-BJPS338

Mathematical Reviews number (MathSciNet)
MR3770870

Zentralblatt MATH identifier
06973955

Keywords
Generalized autoregressive conditional heteroskedastic ARCH Skellam Poisson negative binomial nonstationary

Citation

Alomani, Ghadah A.; Alzaid, Abdulhamid A.; Omair, Maha A. A Skellam GARCH model. Braz. J. Probab. Stat. 32 (2018), no. 1, 200--214. doi:10.1214/16-BJPS338. https://projecteuclid.org/euclid.bjps/1520046141


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