On mixture periodic Integer-Valued ARCH models
Fares Ouzzani, Mohamed Bentarzi · Communications in Statistics - Simulation and Computation · 2019
This paper deals with the study of Mixture Periodic Integer-Valued Autoregressive Conditionally Heteroskedastic models. Some theoretical properties of the model, such as the first and the second moment periodically stationary conditions, are established. Moreover, closed-forms of these moments are, under these conditions, derived. The estimation is done by the maximum likelihood via the iterative EM algorithm and the performance of this method is shown via an intensive simulation study. A comparative real data study is performed on a Campylobacteriosis time series.