论文标题
混合Skellam-Garch过程的特性
Mixing properties of Skellam-GARCH processes
论文作者
论文摘要
我们考虑整数值GARCH过程，其中计数变量以过去的计数和状态变量为条件，遵循所谓的Skellam分布。利用参数进行收缩马尔可夫连锁店，我们证明该过程具有独特的固定策略。此外，我们显示渐近规则性（$β$ - 浓度），并在计数过程中具有几何衰减系数。这些概率结果通过统计分析，一些模拟以及对最近的Covid-19数据的应用来补充。
We consider integer-valued GARCH processes, where the count variable conditioned on past values of the count and state variables follows a so-called Skellam distribution. Using arguments for contractive Markov chains we prove that the process has a unique stationary regime. Furthermore, we show asymptotic regularity ($β$-mixing) with geometrically decaying coefficients for the count process. These probabilistic results are complemented by a statistical analysis, a few simulations as well as an application to recent COVID-19 data.
