Infinitely Divisible Distributions in Integer-Valued Garch Models
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/44666 https://doi.org/10.1111/jtsa.12112 |
Resumo: | We propose an integer-valued stochastic process with conditional marginal distribution belonging to the class of infinitely divisible discrete probability laws. With this proposal, we introduce a wide class of models for count time series that includes the Poisson integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) model (Ferland et al., 2006) and the negative binomial and generalized Poisson INGARCH models (Zhu, 2011, 2012a). The main probabilistic analysis of this process is developed stating, in particular, first-order and second-order stationarity conditions. The existence of a strictly stationary and ergodic solution is established in a subclass including the Poisson and generalized Poisson INGARCH models. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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7160 |
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Infinitely Divisible Distributions in Integer-Valued Garch ModelsWe propose an integer-valued stochastic process with conditional marginal distribution belonging to the class of infinitely divisible discrete probability laws. With this proposal, we introduce a wide class of models for count time series that includes the Poisson integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) model (Ferland et al., 2006) and the negative binomial and generalized Poisson INGARCH models (Zhu, 2011, 2012a). The main probabilistic analysis of this process is developed stating, in particular, first-order and second-order stationarity conditions. The existence of a strictly stationary and ergodic solution is established in a subclass including the Poisson and generalized Poisson INGARCH models.Wiley2015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/44666http://hdl.handle.net/10316/44666https://doi.org/10.1111/jtsa.12112https://doi.org/10.1111/jtsa.12112enghttp://onlinelibrary.wiley.com/doi/10.1111/jtsa.12112/fullGonçalves, EsmeraldaMendes-Lopes, NazaréSilva, Filipainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:03:19Zoai:estudogeral.uc.pt:10316/44666Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:24.897126Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
title |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
spellingShingle |
Infinitely Divisible Distributions in Integer-Valued Garch Models Gonçalves, Esmeralda |
title_short |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
title_full |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
title_fullStr |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
title_full_unstemmed |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
title_sort |
Infinitely Divisible Distributions in Integer-Valued Garch Models |
author |
Gonçalves, Esmeralda |
author_facet |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
author_role |
author |
author2 |
Mendes-Lopes, Nazaré Silva, Filipa |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
description |
We propose an integer-valued stochastic process with conditional marginal distribution belonging to the class of infinitely divisible discrete probability laws. With this proposal, we introduce a wide class of models for count time series that includes the Poisson integer-valued generalized autoregressive conditional heteroscedastic (INGARCH) model (Ferland et al., 2006) and the negative binomial and generalized Poisson INGARCH models (Zhu, 2011, 2012a). The main probabilistic analysis of this process is developed stating, in particular, first-order and second-order stationarity conditions. The existence of a strictly stationary and ergodic solution is established in a subclass including the Poisson and generalized Poisson INGARCH models. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/44666 http://hdl.handle.net/10316/44666 https://doi.org/10.1111/jtsa.12112 https://doi.org/10.1111/jtsa.12112 |
url |
http://hdl.handle.net/10316/44666 https://doi.org/10.1111/jtsa.12112 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12112/full |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Wiley |
publisher.none.fl_str_mv |
Wiley |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799133821136797696 |