Consistency of a nonparametric least squares estimator in integer-valued GARCH models
Statistics Theory
2021-09-01 v2 Statistics Theory
Abstract
We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finite-dimensional parameters, but we impose nonparametric smoothness conditions. We propose a least squares estimator for this function and show that it is consistent with a rate that we conjecture to be nearly optimal.
Keywords
Cite
@article{arxiv.2009.10383,
title = {Consistency of a nonparametric least squares estimator in integer-valued GARCH models},
author = {Maximilian Wechsung and Michael H. Neumann},
journal= {arXiv preprint arXiv:2009.10383},
year = {2021}
}
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24 pages