Nonparametric least squares estimation in integer-valued GARCH models

09/22/2020

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by   Maximilian Wechsung, et al.

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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.