References & Citations
Mathematics > Statistics Theory
Title: A log-linear model for non-stationary time series of counts
(Submitted on 3 Jul 2023 (v1), last revised 27 Mar 2024 (this version, v2))
Abstract: We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the conditional distributions from nearly scale invariant families where the mean absolute value and the standard deviation are of the same order of magnitude. As an important prerequisite for applications in statistics, we prove absolute regularity of the count process with exponentially decaying coefficients.
Submission history
From: Anne Leucht [view email][v1] Mon, 3 Jul 2023 19:41:22 GMT (36kb,D)
[v2] Wed, 27 Mar 2024 08:29:11 GMT (74kb,D)
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