Inference and forecasting for continuous-time integer-valued trawl processes

DOI10.1016/j.jeconom.2023.105476arXiv2107.03674MaRDI QIDQ6054392

Almut E. D. Veraart, Mikkel Bennedsen, Asger Lunde, Neil Shephard

Publication date: 28 September 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2107.03674

zbMATH Keywords

estimationmodel selectioncount dataforecastingpairwise likelihoodLévy basis

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Simulation methods and error analysis for trawl processes and ambit fields

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Modeling, simulation and inference for multivariate time series of counts using trawl processes
• Model comparison with composite likelihood information criteria
• Quantitative Breuer-Major theorems
• Stationary infinitely divisible processes
• On weak dependence conditions: the case of discrete valued processes
• Central limit theorems for non-linear functionals of Gaussian fields
• Spectral representations of infinitely divisible processes
• Minimal conditions in \(p\)-stable limit theorems
• Estimating the dimension of a model
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• A Berry-Esseén theorem for partial sums of functionals of heavy-tailed moving averages
• Limit theorems for trawl processes
• Independence, successive and conditional likelihood for time series of counts
• Discrete-time trawl processes
• COMPOSITE LIKELIHOOD UNDER HIDDEN MARKOV MODEL
• Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
• Likelihood Inference for Exponential-Trawl Processes
• A note on pseudolikelihood constructed from marginal densities
• A note on composite likelihood inference and model selection
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• Composite Likelihood Bayesian Information Criteria for Model Selection in High-Dimensional Data
• Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
• An Optimum Property of Regular Maximum Likelihood Estimation
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Inference and forecasting for continuous-time integer-valued trawl processes