Year: 2024
Type: article
Abstract: We propose a new model for non-stationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the conditional distributions from nearly scale invariant families where the mean absolute value and the standard deviation are of the same order of magnitude. As an important prerequisite for applications in statistics, we prove absolute regularity of the count process with exponentially decaying coefficients.
Source: Bernoulli
DOI: 10.3150/24-bej1747
Authors: Anne Leucht, Michael H. Neumann
Institutions: University of Bamberg, Friedrich Schiller University Jena
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W4403894508