Likelihood Estimation for the INAR(p) Model by Saddlepoint Approximation

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Poisson QMLE of Count Time Series Models (2016, methodology): “Since it is not obvious to compute the MLE of a parameterdriven model, several alternative techniques and algorithms have been proposed in the literature (e.g., Drost et al., 2009; Pavlopoulos and Karlis, 2008; Pedeli et al., 2014).”