A new class of integer valued processes with conditional heteroscedasticity
 
 
Description:  The aim of this talk is to introduce an integer-valued model with conditional distribution belonging to the class of compound Poisson probability laws. This proposal includes, in particular, the Poisson INGARCH model, and the negative binomial and generalized Poisson models. We show the relevance of this new definition in the construction of special classes of integer-valued conditional heteroscedastic processes. The main probabilistic analysis of these processes is presented, precisely, developing first and second-order stationarity conditions and their autocorrelation function. The existence of a strictly stationary and ergodic solution is established in a subclass including Poisson and generalized Poisson INGARCH models.
Date:  2014-09-19
Start Time:   14:30
Speaker:  Filipa Silva (CMUC)
Institution:  CMUC, Univ. Coimbra
Place:  Sala 5.5
Research Groups: -Probability and Statistics
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