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Seminário Probabilidades e Estatística   RSS

20/01/2022, 14:00 — 15:30 — Online
Abdelhakim Aknouche, Department of Mathematics of Qassim University, Saudi Arabia

On Integer-valued GARCH Modeling

This talk presents a concise review of integer-valued GARCH (INGARCH) modeling for time series of counts. Attention is paid to some commonly used specifications and the main approaches for studying their ergodic properties and their estimation methods. In particular, the focus is on the class of INGARCH processes with equal conditional stochastic and mean orders. Some recent mixture INGARCH extensions, in particular, Markov-switching INGARCH models are also presented.

Joint seminar CEMAT and CEAUL