A note on the stability of multivariate non-linear time series with an application to time series of counts

DOI10.1016/j.spl.2021.109196zbMath1473.62304OpenAlexW3184957326MaRDI QIDQ2244527

Lionel Truquet, Zinsou-Max Debaly

Publication date: 12 November 2021

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2021.109196

zbMATH Keywords

momentsstationarityrandom mapsINGARCH models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (4)

Strong mixing properties of discrete-valued time series with exogenous covariates ⋮ Multivariate self-exciting jump processes with applications to financial data ⋮ Testing Linearity for Network Autoregressive Models ⋮ Multivariate time series models for mixed data

Cites Work

• A new bivariate integer-valued GARCH model allowing for negative cross-correlation
• Flexible bivariate Poisson integer-valued GARCH model
• Multivariate count autoregression
• Poisson Autoregression
• Integer-Valued GARCH Process
• Limit theorems for iterated random functions
• Univariate Discrete Distributions

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