Mixing properties of non-stationary INGARCH(1,1) processes | Vidéo | Carmin.tv

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Mixing properties of non-stationary INGARCH(1,1) processes

Appears in collection : Adaptive and High-Dimensional Spatio-Temporal Methods for Forecasting / Méthodes spatio-temporelles adaptatives et en grande dimension pour la prédiction

In this talk, I will present mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we obtain absolute regularity at a geometric rate not only for stationary Poisson-GARCH processes but also for models with an explosive trend. Easily verifiable sufficient conditions for absolute regularity can be deduced from our general results for a variety of models including classical (log-)linear models.

Information about the video

Date of recording 27/09/2022
Date of publication 10/10/2022
Institution CIRM
Licence CC BY NC ND
Language English
Audience Researchers, Graduate Students
Director(s) Guillaume Hennenfent
Format MP4

Citation data

DOI 10.24350/CIRM.V.19961303
Cite this video Leucht, Anne (27/09/2022). Mixing properties of non-stationary INGARCH(1,1) processes. CIRM. Audiovisual resource. DOI: 10.24350/CIRM.V.19961303
URL https://dx.doi.org/10.24350/CIRM.V.19961303

Domain(s)

Probability

Bibliography

DOUKHAN, Paul, LEUCHT, Anne, et NEUMANN, Michael H. Mixing properties of non-stationary INGARCH (1, 1) processes. Bernoulli, 2022, vol. 28, no 1, p. 663-688. - http://dx.doi.org/10.3150/21-BEJ1362

MSC codes

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