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October 2020 Two classes of dynamic binomial integer-valued ARCH models
Huaping Chen, Qi Li, Fukang Zhu
Braz. J. Probab. Stat. 34(4): 685-711 (October 2020). DOI: 10.1214/19-BJPS452

Abstract

This paper introduces two classes of binomial integer-valued ARCH models with dynamic survival probabilities, each of which is controlled by a stochastic recurrence equation. Stationarity and ergodicity of the process are established, and stochastic properties are given. Conditional least squares and conditional maximum likelihood estimators for the parameters of interest are considered, and their large-sample properties are established. The performances of these estimators are compared via simulation studies. Finally, we demonstrate the usefulness of the proposed models by analyzing real datasets.

Citation

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Huaping Chen. Qi Li. Fukang Zhu. "Two classes of dynamic binomial integer-valued ARCH models." Braz. J. Probab. Stat. 34 (4) 685 - 711, October 2020. https://doi.org/10.1214/19-BJPS452

Information

Received: 1 January 2019; Accepted: 1 July 2019; Published: October 2020
First available in Project Euclid: 25 September 2020

MathSciNet: MR4153637
Digital Object Identifier: 10.1214/19-BJPS452

Rights: Copyright © 2020 Brazilian Statistical Association

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Vol.34 • No. 4 • October 2020
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