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November 2020 Coupling and perturbation techniques for categorical time series
Lionel Truquet
Bernoulli 26(4): 3249-3279 (November 2020). DOI: 10.3150/20-BEJ1225

Abstract

We present a general approach for studying autoregressive categorical time series models with dependence of infinite order and defined conditional on an exogenous covariate process. To this end, we adapt a coupling approach, developed in the literature for bounding the relaxation speed of a chain with complete connections and from which we derive a perturbation result for non-homogenous versions of such chains. We then study stationarity, ergodicity and dependence properties of some chains with complete connections and exogenous covariates. As a consequence, we obtain a general framework for studying some observation-driven time series models used both in statistics and econometrics but without theoretical support.

Citation

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Lionel Truquet. "Coupling and perturbation techniques for categorical time series." Bernoulli 26 (4) 3249 - 3279, November 2020. https://doi.org/10.3150/20-BEJ1225

Information

Received: 1 September 2019; Revised: 1 April 2020; Published: November 2020
First available in Project Euclid: 27 August 2020

zbMATH: 07256175
MathSciNet: MR4140544
Digital Object Identifier: 10.3150/20-BEJ1225

Rights: Copyright © 2020 Bernoulli Society for Mathematical Statistics and Probability

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Vol.26 • No. 4 • November 2020
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