Mallows’ quasi-likelihood estimation for log-linear Poisson autoregressions
Date
2016ISSN
1387-0874Source
Statistical Inference for Stochastic ProcessesVolume
19Issue
3Pages
337-361Google Scholar check
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We consider the problems of robust estimation and testing for a log-linear model with feedback for the analysis of count time series. We study inference for contaminated data with transient shifts, level shifts and additive outliers. It turns out that the case of additive outliers deserves special attention. We propose a robust method for estimating the regression coefficients in the presence of interventions. The resulting robust estimators are asymptotically normally distributed under some regularity conditions. A robust score type test statistic is also examined. The methodology is applied to real and simulated data. © 2015, Springer Science+Business Media Dordrecht.