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

DOI10.1016/J.JMVA.2018.08.012zbMATH Open1404.60048arXiv1608.03154OpenAlexW2892252469MaRDI QIDQ129557FDOQ129557

Almut E. D. Veraart, Almut E.D. Veraart

Publication date: January 2019

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1608.03154

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)

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Cited In (10)

• 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
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• Statistical analysis of multivariate discrete-valued time series
• Inference and forecasting for continuous-time integer-valued trawl processes
• Simulation methods and error analysis for trawl processes and ambit fields
• trawl
• Count network autoregression

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