Weak Dependence of Functional INGARCH Processes

  • We introduce a class of models for time series of counts which include INGARCH-type models as well as log linear models for conditionally Poisson distributed data. For those processes, we formulate simple conditions for stationarity and weak dependence with a geometric rate. The coupling argument used in the proof serves as a role model for a similar treatment of integer-valued time series models based on other types of thinning operations.

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Metadaten
Author:Jürgen Franke
URN (permanent link):urn:nbn:de:hbz:386-kluedo-16389
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (126)
Document Type:Preprint
Language of publication:English
Year of Completion:2010
Year of Publication:2010
Publishing Institute:Technische Universität Kaiserslautern
Tag:Poisson regression ; count data ; integer GARCH ; integer-valued time series ; weak dependence
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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