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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| Author: | Jürgen Franke |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-16389 |
| Series (Serial Number): | Report in Wirtschaftsmathematik (WIMA Report) (126) |
| Document Type: | Preprint |
| Language of publication: | English |
| Year of Completion: | 2010 |
| Year of first Publication: | 2010 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2010/04/15 |
| Tag: | Poisson regression; count data; integer GARCH; integer-valued time series; weak dependence |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Mathematik |
| DDC-Cassification: | 5 Naturwissenschaften und Mathematik / 510 Mathematik |
| Licence (German): |  Standard gemäß KLUEDO-Leitlinien vor dem 27.05.2011 |