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Mixing properties of non-stationary INGARCH(1,1) processes
Multi angle
Authors : Leucht, Anne (Author of the conference)
CIRM (Publisher )
60G07 - General theory of processes
60G10 - Stationary processes
60J05 - Markov processes with discrete parameter
CIRM (Publisher )
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Abstract :
In this talk, I will present mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we obtain absolute regularity at a geometric rate not only for stationary Poisson-GARCH processes but also for models with an explosive trend. Easily verifiable sufficient conditions for absolute regularity can be deduced from our general results for a variety of models including classical (log-)linear models.
Keywords : Absolute regularity; coupling; INGARCH; mixing
MSC Codes : Keywords : Absolute regularity; coupling; INGARCH; mixing
60G07 - General theory of processes
60G10 - Stationary processes
60J05 - Markov processes with discrete parameter
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 10/10/2022 Conference Date : 27/09/2022 Subseries : Research talks arXiv category : Probability Mathematical Area(s) : Probability & Statistics Format : MP4 (.mp4) - HD Video Time : 00:31:40 Targeted Audience : Researchers ; Graduate Students ; Doctoral Students, Post-Doctoral Students Download : https://videos.cirm-math.fr/2022-09-27_Leucht.mp4 
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Information on the Event
Event Title : Adaptive and High-Dimensional Spatio-Temporal Methods for Forecasting / Méthodes spatio-temporelles adaptatives et en grande dimension pour la prédictionEvent Organizers : Bardet, Jean-Marc ; Naveau, Philippe ; Subba Rao, Suhasini ; Veraart, Almut ; von Sachs, Rainer Dates : 26/09/2022 - 30/09/2022 Event Year : 2022 Event URL : https://conferences.cirm-math.fr/2619.html
Citation Data
DOI : 10.24350/CIRM.V.19961303Cite this video as: Leucht, Anne (2022). Mixing properties of non-stationary INGARCH(1,1) processes. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19961303 URI : http://dx.doi.org/10.24350/CIRM.V.19961303 |
See Also
- [Multi angle] Conditional independence in extremes / Author of the conference Strokorb, Kirstin.
- [Multi angle] Modelling multivariate extreme value distributions via Markov trees / Author of the conference Segers, Johan.
- [Multi angle] The extrapolation of correlation / Author of the conference Panaretos, Victor.
- [Multi angle] Scan statistics for the detection of anomalies in random fields / Author of the conference Kirch, Claudia.
Bibliography
- DOUKHAN, Paul, LEUCHT, Anne, et NEUMANN, Michael H. Mixing properties of non-stationary INGARCH (1, 1) processes. Bernoulli, 2022, vol. 28, no 1, p. 663-688. - http://dx.doi.org/10.3150/21-BEJ1362
Imagette Video
