Mixing properties of integer-valued GARCH processes

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Alea-Latin American Journal of Probability and Mathematical Statistics Pub Date : 2021-01-01 DOI:10.30757/ALEA.V18-18

P. Doukhan, N. M. Khan, Michael H. Neumann

引用次数: 7

Abstract

We consider models for count variables with a GARCH-type structure. Such a process consists of an integer-valued component and a volatility process. Using arguments for contractive Markov chains we prove that this bivariate process has a unique stationary regime. Furthermore, we show absolute regularity (β-mixing) with geometrically decaying coefficients for the count process. These probabilistic results are complemented by a statistical analysis and a few simulations.

查看原文本刊更多论文

整数值GARCH过程的混合特性

我们考虑具有garch类型结构的计数变量模型。该过程由整数分量和波动过程组成。利用压缩马尔可夫链的参数，证明了该二元过程具有唯一的平稳区。此外，我们在计数过程中显示了具有几何衰减系数的绝对规律性(β-混合)。这些概率结果由统计分析和一些模拟加以补充。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Alea-Latin American Journal of Probability and Mathematical Statistics STATISTICS & PROBABILITY-

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： ALEA publishes research articles in probability theory, stochastic processes, mathematical statistics, and their applications. It publishes also review articles of subjects which developed considerably in recent years. All articles submitted go through a rigorous refereeing process by peers and are published immediately after accepted. ALEA is an electronic journal of the Latin-american probability and statistical community which provides open access to all of its content and uses only free programs. Authors are allowed to deposit their published article into their institutional repository, freely and with no embargo, as long as they acknowledge the source of the paper. ALEA is affiliated with the Institute of Mathematical Statistics.