Cluster point processes and Poisson thinning INARMA

DOI10.1016/j.spa.2022.02.002zbMath1483.62149OpenAlexW4211024512MaRDI QIDQ2121089

Zezhun Chen, Angelos Dassios

Publication date: 1 April 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2022.02.002

zbMATH Keywords

integer-valued time seriesstochastic intensity modelPoisson thinningdynamic contagion process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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