Related papers: On random coefficient INAR(1) processes
The stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to the initial conditions for the differential equations. As a general rule, in…
Let $\{Y_i,-\infty<i<\infty\}$ be a doubly infinite sequence of identically distributed, negatively dependent random variables under sub-linear expectations, $\{a_i,-\infty<i<\infty\}$ be an absolutely summable sequence of real numbers. In…
This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…
In two recent papers we introduced some new techniques for constructing an extension of a probability-preserving system $T:\mathbb{Z}^d\curvearrowright (X,\mu)$ that enjoys certain desirable properties in connexion with the asymptotic…
We propose a novel cointegrated autoregressive model for matrix-valued time series, with bi-linear cointegrating vectors corresponding to the rows and columns of the matrix data. Compared to the traditional cointegration analysis, our…
In this paper, a random graph process ${G(t)}_{t\geq 1}$ is studied and its degree sequence is analyzed. Let $(W_t)_{t\geq 1}$ be an i.i.d. sequence. The graph process is defined so that, at each integer time $t$, a new vertex, with $W_t$…
Linear fractional Galton-Watson branching processes in i.i.d.~random environment are, on the quenched level, intimately connected to random difference equations by the evolution of the random parameters of their linear fractional marginals.…
The Lasso is a popular model selection and estimation procedure for linear models that enjoys nice theoretical properties. In this paper, we study the Lasso estimator for fitting autoregressive time series models. We adopt a double…
We derive a closed-form expression for the finite predictor coefficients of multivariate ARMA (autoregressive moving-average) processes. The expression is given in terms of several explicit matrices that are of fixed sizes independent of…
In this article we study asymptotic behavior of the probability that a random monic polynomial with integer coefficients is irreducible over the integers. We consider the cases where the coefficients grow together with the degree of the…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
In this paper we study the limiting distributions of the least-squares estimators for the non-stationary first-order threshold autoregressive (TAR(1)) model. It is proved that the limiting behaviors of the TAR(1) process are very different…
We consider a positive stationary generalized Ornstein--Uhlenbeck process \[V_t=\mathrm{e}^{-\xi_t}\biggl(\int_0^t\mathrm{e}^{\xi_{s-}}\ ,\mathrm{d}\eta_s+V_0\biggr)\qquadfor t\geq0,\] and the increments of the integrated generalized…
We introduce a model of graph-constrained dynamic choice with reinforcement modeled by positively $\alpha$-homogeneous rewards. We show that its empirical process, which can be written as a stochastic approximation recursion with Markov…
Tensor-valued data are becoming increasingly available in economics and this calls for suitable econometric tools. We propose a new dynamic linear model for tensor-valued response variables and covariates that encompasses some well-known…
A $d$-dimensional nonparametric additive regression model with dependent observations is considered. Using the marginal integration technique and wavelets methodology, we develop a new adaptive estimator for a component of the additive…
Natural language processing has greatly benefited from the introduction of the attention mechanism. However, standard attention models are of limited interpretability for tasks that involve a series of inference steps. We describe an…
Autoregressive neural network models have been used successfully for sequence generation, feature extraction, and hypothesis scoring. This paper presents yet another use for these models: allocating more computation to more difficult…
We study nearly unstable bivariate cumulative heavy-tailed INAR($\infty$) processes and show that, under a one-factor parameterization and a suitable scaling, they converge to the rough Heston model. This yields a discrete-time…
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general…