Multivariate count autoregression

DOI10.3150/19-BEJ1132zbMath1456.62155arXiv1704.02097OpenAlexW2990716237MaRDI QIDQ2278669

Konstantinos Fokianos, Bård Støve, Paul Doukhan, Dag Tjøstheim

Publication date: 5 December 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.02097

zbMATH Keywords

predictioncopulaperturbationergodicitystationarityvolatilityautocorrelationgeneralized linear models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Generalized linear models (logistic models) (62J12)

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