A mixture integer-valued GARCH model

Aliou Diop - Université Gaston Berger de Saint-Louis (LERSTAD)
vendredi 11 avril 2014

We generalize the mixture integer-valued ARCH model (MINARCH) introduced by Zhu et al. in 2010 to a mixture integer-valued GARCH (MINGARCH) for modeling time series of counts. This model includes the ability to take into account the moving average component of the series. We give the necessary and sufficient first and second order stationarity conditions. The estimation is done via the EM algorithm. The model selection problem is studied by using three information criterions. We also study the performance of the method via simulations and include a real data application.


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ESANN 2016 : European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning


STATLEARN 2016


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