Theory and inference for a class of nonlinear models with application to time series of counts
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Publication:2828623
DOI10.5705/SS.2014.145TzbMATH Open1356.62137arXiv1204.3915OpenAlexW2324880399MaRDI QIDQ2828623FDOQ2828623
Authors: Richard A. Davis, Heng Liu 
Publication date: 26 October 2016
Published in: Statistica Sinica (Search for Journal in Brave)
Abstract: This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying process that evolves as a function of lagged observations. We employ an iterated random function approach and a special coupling technique to show that, under suitable conditions on the parameter space, the conditional mean process is a geometric moment contracting Markov chain and that the observation process is absolutely regular with geometrically decaying coefficients. Moreover the asymptotic theory of the maximum likelihood estimates of the parameters is established under some mild assumptions. These models are applied to two examples; the first is the number of transactions per minute of Ericsson stock and the second is related to return times of extreme events of Goldman Sachs Group stock.
Full work available at URL: https://arxiv.org/abs/1204.3915
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ergodicitytime series of countsabsolute regularityiterated random functionsone-parameter exponential familygeometric moment contraction
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