6 citations · 7 across the 5 of their papers we have counts for
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q-fin.ST2016
Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
F Blasques, P Gorgi, S Koopman +1
Invertibility conditions for observation-driven time series models often fail to be guaranteed in empirical applications. As a result, the asymptotic theory of maximum likelihood a…
stat.ME2016
Integer-valued autoregressive models with survival probability driven by a stochastic recurrence equation
Paolo Gorgi
A new class of integer-valued autoregressive models with dynamic survival probability is proposed. The peculiarity of this class of models lies on the specification of the survival…