Browsing by Subject "Stationarity"

Now showing items 1-9 of 9

    • Article  

      Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models∗ 

      Douc, R.; Fokianos, Konstantinos; Moulines, E. (2017)
      We study a general class of quasi-maximum likelihood estimators for observation-driven time series models. Our main focus is on models related to the exponential family of distributions like Poisson based models for count ...
    • Article  

      Count Time Series Models 

      Fokianos, Konstantinos (2012)
      We review regression models for count time series. We discuss the approach that is based on generalized linear models and the class of integer autoregressive processes. The generalized linear models' framework provides ...
    • Conference Object  

      Feedback does not increase the capacity of compound channels with additive noise 

      Loyka, S.; Charalambous, Charalambos D. (Institute of Electrical and Electronics Engineers Inc., 2016)
      A discrete compound channel with memory is considered, where no stationarity, ergodicity or information stability is required, and where the uncertainty set can be arbitrary. When the discrete noise is additive but otherwise ...
    • Article  

      Large-sample inference in the general AR(1) model 

      Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2000)
      The situation where the available data arise from a general AR(1) model is discussed, and two new avenues for constructing confidence intervals for the unknown autoregressive root are proposed, one based on a Central Limit ...
    • Article  

      Large-sample inference in the general AR(1) modelAAA 

      Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2000)
      The situation where the available data arise from a general AR(1) model is discussed, and two new avenues for constructing confidence intervals for the unknown autoregressive root are proposed, one based on a Central Limit ...
    • Article  

      Log-linear Poisson autoregression 

      Fokianos, Konstantinos; Tjøstheim, D. (2011)
      We consider a log-linear model for time series of counts. This type of model provides a framework where both negative and positive association can be taken into account. In addition time dependent covariates are accommodated ...
    • Article  

      Nonlinearity Induced Weak Instrumentation 

      Kasparis, Ioannis; Phillips, Peter C. B.; Magdalinos, Tassos (2014)
      In regressions involving integrable functions we examine the limit properties of instrumental variable (IV) estimators that utilise integrable transformations of lagged regressors as instruments. The regressors can be ...
    • Article  

      On weak dependence conditions for Poisson autoregressions 

      Doukhan, P.; Fokianos, Konstantinos; Tjøstheim, D. (2012)
      We consider generalized linear models for regression modeling of count time series. We give easily verifiable conditions for obtaining weak dependence for such models. These results enable the development of maximum ...
    • Article  

      Some recent progress in count time series 

      Fokianos, Konstantinos (2011)
      We reviewsome regression models for the analysis of count time series. These models have been the focus of several investigations over the last years, but only recently simple conditions for stationarity and ergodicity ...