Robust estimation for zero-inflated poisson autoregressive models based on density power divergence

ABSTRACT

In this study, we consider a robust estimation for zero-inflated Poisson autoregressive models using the minimum density power divergence estimator designed by Basu et al. [Robust and efficient estimation by minimising a density power divergence. Biometrika. 1998;85:549–559]. We show that under some regularity conditions, the proposed estimator is strongly consistent and asymptotically normal. The performance of the estimator is evaluated through Monte Carlo simulations. A real data analysis using New South Wales crime data is also provided for illustration.

KEYWORDS:

• Robust estimation
• minimum density power divergence estimator
• zero-inflated Poisson autoregressive model
• integer-valued GARCH model

Disclosure statement

No potential conflict of interest was reported by the authors.

ORCID

Sangyeol Lee http://orcid.org/0000-0003-1109-6768.

Additional information

Funding

The first author acknowledges that this research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Science, ICT & Future Planning [NRF-2015R1C1A1A01052330].