整数值GARCH过程的混合特性

Pub Date : 2021-01-01 DOI:10.30757/ALEA.V18-18

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

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引用次数: 7

摘要

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。

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Mixing properties of integer-valued GARCH processes

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.

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