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Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
Journal article   Open access  Peer reviewed

Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models

Abdelhakim Aknouche and Sara Bendjeddou
Comptes rendus. Mathématique, Vol.355(1), pp.99-104
01/01/2017
DOI: https://doi.org/10.1016/j.crma.2016.11.006

Abstract

Mathematics Physical Sciences Science & Technology
This note establishes the consistency and the asymptotic normality of the geometric quasi-maximum-likelihood estimate (QMLE) of a general class of integer-valued time series models. In this class, only the conditional mean is specified in a general parametric form. Comparison with the Poisson QMLE on some particular models, with regard to asymptotic relative efficiency, is considered. (C) 2016 Academie des sciences. Publie par Elsevier Masson SAS. Tous droits reserves.
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https://doi.org/10.1016/j.crma.2016.11.006View
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