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

DOI10.1016/J.JMVA.2018.08.012MaRDI QIDQ129557zbMATH OpenOpenAlexFDO

Authors 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, http://hdl.handle.net/10044/1/63882

zbMATH Keywords

count datacontinuous time modeling of multivariate time seriesinfinitely divisiblelimit order bookmultivariate negative binomial lawPoisson mixturestrawl processes

Mathematics Subject Classification ID

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

Abstract: This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by L'{e}vy noise - called a trawl process - where the serial correlation and the cross-sectional dependence are modelled independently of each other. Such processes can exhibit short or long memory. We derive a stochastic simulation algorithm and a statistical inference method for such processes. The new methodology is then applied to high frequency financial data, where we investigate the relationship between the number of limit order submissions and deletions in a limit order book.

Recommendations

• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Multivariate count autoregression
• Modelling security market events in continuous time: intensity based, multivariate point process models
• Dynamic factor models for multivariate count data: an application to stock-market trading activity
• Likelihood Inference for Exponential-Trawl Processes

Cites work

• scientific article; zbMATH DE number 1808197 (Why is no real title available?)
• scientific article; zbMATH DE number 3583162 (Why is no real title available?)
• scientific article; zbMATH DE number 3604240 (Why is no real title available?)
• scientific article; zbMATH DE number 1237531 (Why is no real title available?)
• scientific article; zbMATH DE number 1959513 (Why is no real title available?)
• scientific article; zbMATH DE number 2002520 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 2206035 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• A Primer on Copulas for Count Data
• A negative binomial model for time series of counts
• A new look at time series of counts
• A simple proof of Feller's characterization of the compound Poisson distributions
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Count Data Distributions
• Discrete analogues of self-decomposability and stability
• Estimating multivariate volatility models equation by equation
• Fitting Empirical Data by Positive Sums of Exponentials
• Handbook of discrete-valued time series
• Integer-Valued GARCH Process
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Likelihood Inference for Exponential-Trawl Processes
• Mixed Poisson Distributions
• Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model
• Modeling and Generating Dependent Risk Processes for IRM and DFA
• Multivariate Counting Processes: Copulas and Beyond
• Multivariate Logarithmic Series Distribution as a Probability Model in Population and Community Ecology and Some of its Statistical Properties
• Multivariate distributions with generalized inverse gaussian marginals, and associated poisson mixtures
• On modeling count data: a comparison of some well-known discrete distributions
• Spectral representations of infinitely divisible processes
• Stationary infinitely divisible processes
• Super-Efficient Prediction Based on High-Quality Marker Information
• The Multivariate Ginar(p) Process
• Thinning operations for modeling time series of counts -- a survey
• Useful models for time series of counts or simply wrong ones?

Cited in

(13)

• Count network autoregression
• Closed-form maximum likelihood estimator for logarithmic distribution and its asymptotic variance
• Limit theorems for integrated trawl processes with symmetric Lévy bases
• Limit theorems for trawl processes
• Flexible Lévy-based models for time series of count data with zero-inflation, overdispersion, and heavy tails
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Integer-valued trawl processes: a class of stationary infinitely divisible processes
• Regression analysis for multivariate process data of counts using convolved Gaussian processes
• Statistical analysis of multivariate discrete-valued time series
• trawl
• The Markov approximation of the periodic multivariate Poisson autoregression
• Inference and forecasting for continuous-time integer-valued trawl processes
• Simulation methods and error analysis for trawl processes and ambit fields

This page was built for publication: Modeling, simulation and inference for multivariate time series of counts using trawl processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q129557)