Abstract
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.
Citation
Ghadah A. Alomani. Abdulhamid A. Alzaid. Maha A. Omair. "A Skellam GARCH model." Braz. J. Probab. Stat. 32 (1) 200 - 214, February 2018. https://doi.org/10.1214/16-BJPS338
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