157 citations · 251 across the 9 of their papers we have counts for
11 papers
Mixing properties of non-stationary INGARCH(1,1) processes
Paul Doukhan, Anne Leucht, Michael H Neumann
We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regular…
Consistency of a nonparametric least squares estimator in integer-valued GARCH models
Maximilian Wechsung, Michael H. Neumann
We consider a nonparametric version of the integer-valued GARCH(1,1) model for time series of counts. The link function in the recursion for the variances is not specified by finit…
Stationarity and ergodic properties for some observation-driven models in random environments
Paul Doukhan, Michael H. Neumann, Lionel Truquet
The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process.…
Mixing properties of Skellam-GARCH processes
Paul Doukhan, Naushad Mamode Khan, Michael H. Neumann
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 arg…
Absolute regularity of semi-contractive GARCH-type processes
Paul Doukhan, Michael H. Neumann
We prove existence and uniqueness of a stationary distribution and absolute regularity for nonlinear GARCH and INGARCH models of order (p,q). In contrast to previous work we impose…
On Integrated Convergence Rate of an Isotonic Regression Estimator for Multivariate Observations
Konstantinos Fokianos, Anne Leucht, Michael H. Neumann
We consider a general monotone regression estimation where we allow for independent and dependent regressors. We propose a modification of the classical isotonic least squares esti…