论文标题
整数值GARCH模型中非参数最小二乘估计器的一致性
Consistency of a nonparametric least squares estimator in integer-valued GARCH models
论文作者
论文摘要
我们考虑了计数时间序列的整数值GARCH（1,1）模型的非参数版本。方差递归中的链接函数未通过有限维参数指定，但我们施加了非参数平滑度条件。我们提出了此功能的最小二乘估计器，并表明它与我们认为几乎是最佳的速率一致。
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.
