时间序列的零膨胀二项整数值ARCH模型

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY

Statistics Pub Date : 2023-06-05 DOI:10.1080/02331888.2023.2221363

E. Gonçalves, N. Mendes-Lopes

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引用次数: 0

摘要

介绍了一类条件零膨胀二项分布的整数值ARCH过程。研究了平稳性、遍历性和自协方差结构以及条件极大似然估计参数。数值研究和对一天中葡萄牙和西班牙电价不同的小时数的应用说明了该模型与其他模型相比的性能。

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Zero-inflated binomial integer-valued ARCH models for time series

ABSTRACT An integer-valued ARCH process with a conditional zero-inflated binomial distribution is introduced. Stationarity, ergodicity and the autocovariance structure are studied as well as the estimation of parameters by conditional maximum likelihood. Numerical studies and an application to the number of hours in a day in which the prices of electricity for Portugal and Spain are different illustrate the performance of this model when compared with others.

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来源期刊

Statistics 数学-统计学与概率论

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 months

期刊介绍： Statistics publishes papers developing and analysing new methods for any active field of statistics, motivated by real-life problems. Papers submitted for consideration should provide interesting and novel contributions to statistical theory and its applications with rigorous mathematical results and proofs. Moreover, numerical simulations and application to real data sets can improve the quality of papers, and should be included where appropriate. Statistics does not publish papers which represent mere application of existing procedures to case studies, and papers are required to contain methodological or theoretical innovation. Topics of interest include, for example, nonparametric statistics, time series, analysis of topological or functional data. Furthermore the journal also welcomes submissions in the field of theoretical econometrics and its links to mathematical statistics.