Brazilian Journal of Probability and Statistics

A Skellam GARCH model

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

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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

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

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

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Zentralblatt MATH identifier

Generalized autoregressive conditional heteroskedastic ARCH Skellam Poisson negative binomial nonstationary


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.

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