4 citations · 8 across the 6 of their papers we have counts for
6 papers
Reclaiming the "frequentist" role of marginal likelihood in Bayesian belief revision
Abdelhakim Aknouche
In modern Bayesian computation and parametric estimation, the marginal likelihood, serving as the denominator P(D) in Bayes' Theorem, is routinely bypassed via unnormalized proport…
Mixed difference integer-valued GARCH model for -valued time series
Abdelhakim Aknouche, Christian Francq, Yuichi Goto
In this paper, we introduce flexible observation-driven -valued time series models constructed from mixtures of negative and non-negative components. Compared to models…
Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs
Abdelhakim Aknouche, Sonia Gouveia, Manuel Scotto
A common approach to analyze count time series is to fit models based on random sum operators. As an alternative, this paper introduces time series models based on a random multipl…
Periodic Chandrasekhar recursions
Abdelhakim Aknouche, Fayçal Hamdi
This paper extends the Chandrasekhar-type recursions due to Morf, Sidhu, and Kailath "Some new algorithms for recursive estimation in constant, linear, discrete-time systems, IEEE…
On some probabilistic properties of periodic GARCH processes
Abdelouahab Bibi, Abdelhakim Aknouche
This paper examines some probabilistic properties of the class of periodic GARCH processes (PGARCH) which feature periodicity in conditional heteroskedasticity. In these models, th…
A note on calculating autocovariances of periodic ARMA models
Abdelhakim Aknouche Hacène Belbachir Fayçal Hamdi
An analytically simple and tractable formula for the start-up autocovariances of periodic ARMA (PARMA) models is provided.