Likelihood Inference for Exponential-Trawl Processes

DOI10.1007/978-3-319-25826-3_12MaRDI QIDQ2956055zbMATH OpenOpenAlexFDO

Authors Justín Ju-Chen Yang, Neil Shephard

Publication date 16 January 2017

Published in The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.00925

zbMATH Keywords

EM algorithmPoisson random measurehidden Markov processmaximum likelihood estimateinteger-valued processfiltering and smoothingtrawl process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Abstract: Integer-valued trawl processes are a class of serially correlated, stationary and infinitely divisible processes that Ole E. Barndorff-Nielsen has been working on in recent years. In this Chapter, we provide the first analysis of likelihood inference for trawl processes by focusing on the so-called exponential-trawl process, which is also a continuous time hidden Markov process with countable state space. The core ideas include prediction decomposition, filtering and smoothing, complete-data analysis and EM algorithm. These can be easily scaled up to adapt to more general trawl processes but with increasing computation efforts.

Recommendations

• On the estimation of a maximum likelihood of truncated exponential distributions
• Asymptotic theory for the inference of the latent trawl model for extreme values
• Likelihood estimation for generalized mixed exponential distributions
• On exponential rates of likelihood ratio estimators for location parameters
• Likelihood Inference for Discretely Observed Nonlinear Diffusions
• Bayesian inference for truncated exponential distributions
• scientific article; zbMATH DE number 1264870
• Empirical likelihood inference for the mean past lifetime function
• Likelihood asymptotics

Cites work

• scientific article; zbMATH DE number 3569467 (Why is no real title available?)
• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• scientific article; zbMATH DE number 1237531 (Why is no real title available?)
• A New Type of Discrete Self-Decomposability and Its Application to Continuous-Time Markov Processes for Modeling Count Data Time Series
• A negative binomial model for time series of counts
• A new look at time series of counts
• Ambit processes and stochastic partial differential equations
• Applied Probability and Queues
• Fractional Ornstein-Uhlenbeck Lévy processes and the telecom process: Upstairs and downstairs
• Integer-valued Lévy processes and low latency financial econometrics
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• On the autocorrelation and spectral functions of queues
• Prediction and smoothing for partially observed Markov chains
• Regression theory for categorical time series
• Stable mixed moving averages
• State estimation for partially observed Markov chains
• Stationary infinitely divisible processes

Cited in

(4)

• Asymptotic theory for the inference of the latent trawl model for extreme values
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Inference and forecasting for continuous-time integer-valued trawl processes
• Modeling, simulation and inference for multivariate time series of counts using trawl processes

This page was built for publication: Likelihood Inference for Exponential-Trawl Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2956055)