dc.contributor.author | Fokianos, Konstantinos | en |
dc.contributor.author | Truquet, Lionel | en |
dc.creator | Fokianos, Konstantinos | en |
dc.creator | Truquet, Lionel | en |
dc.date.accessioned | 2021-01-25T08:41:22Z | |
dc.date.available | 2021-01-25T08:41:22Z | |
dc.date.issued | 2019 | |
dc.identifier.issn | 0304-4149 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/62835 | |
dc.description.abstract | We study the problem of stationarity and ergodicity for autoregressive multinomial logistic time series models which possibly include a latent process and are defined by a GARCH-type recursive equation. We improve considerably upon the existing conditions about stationarity and ergodicity of those models. Proofs are based on theory developed for chains with complete connections. A useful coupling technique is employed for studying ergodicity of infinite order finite-state stochastic processes which generalize finite-state Markov chains. Furthermore, for the case of finite order Markov chains, we discuss ergodicity properties of a model which includes strongly exogenous but not necessarily bounded covariates. | en |
dc.language.iso | en | en |
dc.source | Stochastic Processes and their Applications | en |
dc.source.uri | http://www.sciencedirect.com/science/article/pii/S0304414918305325 | |
dc.title | On categorical time series models with covariates | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.spa.2018.09.012 | |
dc.description.volume | 129 | |
dc.description.issue | 9 | |
dc.description.startingpage | 3446 | |
dc.description.endingpage | 3462 | |
dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
dc.type.uhtype | Article | en |
dc.source.abbreviation | Stochastic Processes and their Applications | en |
dc.contributor.orcid | Fokianos, Konstantinos [0000-0002-0051-711X] | |
dc.gnosis.orcid | 0000-0002-0051-711X | |