On categorical time series models with covariates

DOI10.1016/J.SPA.2018.09.012zbMATH Open1431.62370arXiv1709.09372OpenAlexW2963701119MaRDI QIDQ2274307FDOQ2274307

Authors: Konstantinos Fokianos, Lionel Truquet 

Publication date: 19 September 2019

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

Abstract: We study the problem of stationarity and ergodicity for autoregressive multinomial logistic time series models which possibly include a latent process and are defined by a GARCH-type recursive equation. We improve considerably upon the existing results related to stationarity and ergodicity conditions of such models. Proofs are based on theory developed for chains with complete connections. This approach is based on a useful coupling technique which is utilized for studying ergodicity of more general finite-state stochastic processes. Such processes generalize finite-state Markov chains by assuming infinite order models of past values. For finite order Markov chains, we also discuss ergodicity properties when some strongly exogenous covariates are considered in the dynamics of the process.

Full work available at URL: https://arxiv.org/abs/1709.09372

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zbMATH Keywords

ergodicityMarkov chaincategorical datacoupling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Stationary stochastic processes (60G10)

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Cited In (19)

• Categorical time semes with a recursive scheme and with covariates
• Iterations of dependent random maps and exogeneity in nonlinear dynamics
• On binary and categorical time series models with feedback
• Multivariate time series models for mixed data
• The table auto-regressive moving-average model for (categorical) stationary series: statistical properties (causality; from the all random to the conditional random)
• Observation-driven models for discrete-valued time series
• Coping with nonstationarity in categorical time series
• Statistical analysis of discrete-valued time series using categorical ARMA models
• Categorical time series models for contingency tables
• Stationarity and ergodic properties for some observation-driven models in random environments
• A characterization of categorical Markov chains
• Statistical analysis of multivariate discrete-valued time series
• On analysis of nonstationary categorical data time series: dynamical dimension reduction, model selection, and applications to computational sociology
• Gaussian concentration bounds for stochastic chains of unbounded memory
• Coupling and perturbation techniques for categorical time series
• Modeling normalcy‐dominant ordinal time series: An application to air quality level
• A perturbation analysis of Markov chains models with time-varying parameters
• Variable length Markov chain with exogenous covariates
• Multivariate Time-Series Analysis With Categorical and Continuous Variables in an Lstr Model

Uses Software

• Fahrmeir

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