Modeling, simulation and inference for multivariate time series of counts using trawl processes

DOI10.1016/j.jmva.2018.08.012zbMath1404.60048arXiv1608.03154OpenAlexW2892252469MaRDI QIDQ129557

Almut E.D. Veraart, Almut E. D. Veraart

Publication date: January 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.03154

zbMATH Keywords

infinitely divisiblecount datalimit order bookPoisson mixturestrawl processescontinuous time modeling of multivariate time seriesmultivariate negative binomial law

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (7)

Inference and forecasting for continuous-time integer-valued trawl processes ⋮ Simulation methods and error analysis for trawl processes and ambit fields ⋮ Limit theorems for trawl processes ⋮ Limit theorems for integrated trawl processes with symmetric Lévy bases ⋮ trawl ⋮ Regression analysis for multivariate process data of counts using convolved Gaussian processes ⋮ Statistical analysis of multivariate discrete-valued time series

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