Stationarity and ergodicity of Markov switching positive conditional mean models

DOI10.1111/JTSA.12621MaRDI QIDQ5095291zbMATH OpenOpenAlexFDO

Authors Abdelhakim Aknouche, C. Francq

Publication date 8 August 2022

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/102503/1/MPRA_paper_102503.pdf

zbMATH Keywords

autoregressive conditional durationcount time series modelsergodicityfinite mixture modelsinteger-valued GARCHMarkov mixture models

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Stationary stochastic processes (60G10) Inference from stochastic processes (62Mxx)

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Cited in

(10)

• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models
• Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
• A multiplicative thinning‐based integer‐valued GARCH model
• On an independent-switching periodic autoregressive conditional duration
• Quantile regression estimation for Poisson autoregressive models
• On an integer-valued stochastic intensity model for time series of counts
• Seasonal ARIMA models with a random period
• Noising the GARCH volatility: a random coefficient GARCH model
• A beta prime ARMA model for positive time series

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