42 citations · 107 across the 9 of their papers we have counts for
9 papers
Generalised Linear Models Driven by Latent Processes: Asymptotic Theory and Applications
Wagner Barreto-Souza, Ngai Hang Chan
This paper introduces a class of generalised linear models (GLMs) driven by latent processes for modelling count, real-valued, binary, and positive continuous time series. Extendin…
Nearly Unstable Integer-Valued ARCH Process and Unit Root Testing
Wagner Barreto-Souza, Ngai Hang Chan
This paper introduces a Nearly Unstable INteger-valued AutoRegressive Conditional Heteroskedasticity (NU-INARCH) process for dealing with count time series data. It is proved that…
Marked empirical processes for non-stationary time series
Ngai Hang Chan, Rongmao Zhang
Consider a first-order autoregressive process where and are i.i.d. random variables. Motiva…
Uniform moment bounds of Fisher's information with applications to time series
Ngai Hang Chan, Ching-Kang Ing
In this paper, a uniform (over some parameter space) moment bound for the inverse of Fisher's information matrix is established. This result is then applied to develop moment bound…
On Parameter Estimation of Threshold Autoregressive Models
Ngai Hang Chan, Yury A. Kutoyants
This paper studies the threshold estimation of a TAR model when the underlying threshold parameter is a random variable. It is shown that the Bayesian estimator is consistent and i…
Integrated functionals of normal and fractional processes
Boris Buchmann, Ngai Hang Chan
Consider , , , where is a normal process and is a measurable real-valued function satisfying $Ef(N_0)^…