In this paper we analyze two different approaches for modeling dependent count data with long-memory. The first model we consider explicitly takes into account the integer nature of data and the long-range correlation, while the second model is a count-data long-memory model where the distribution of the current observation is specified conditionally upon past observations. We compare these two different models by looking at their estimation and forecasting performances
International audienceTwo recent contributions have found conditions for large dimensional networks ...
Previous work on log-periodogram regression in time series with long range dependence is reviewed. T...
A key stylised fact noted in the irregularly-spaced event literature is long memory in durations. Du...
Many real-world time series have been observed to have strong positive correlation between their lon...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
A.1. Background on long memory models. As mentioned in the introduction, long-memory estimation is t...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
In this work we propose a new class of long-memory models with time-varying fractional parameter. In...
In forecasting problems it is important to know whether or not recent events rep-resent a regime cha...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
Doctor of Philosophy in MathematicsIn the middle of this century, the English hydrologist Harold E. ...
We establish sufficient conditions on durations that are stationary with finite variance and memory ...
In this paper we present a review of some well-known bootstrap methods for time series data. We conc...
A two-stage forecasting approach for long memory time series is introduced. In the first step, we es...
International audienceTwo recent contributions have found conditions for large dimensional networks ...
Previous work on log-periodogram regression in time series with long range dependence is reviewed. T...
A key stylised fact noted in the irregularly-spaced event literature is long memory in durations. Du...
Many real-world time series have been observed to have strong positive correlation between their lon...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
A.1. Background on long memory models. As mentioned in the introduction, long-memory estimation is t...
This paper generalizes the standard long memory modeling by assuming that the long memory parameter ...
In this work we propose a new class of long-memory models with time-varying fractional parameter. In...
In forecasting problems it is important to know whether or not recent events rep-resent a regime cha...
We discuss some of the issues pertaining to modelling and estimating long memory in volatility. The ...
Doctor of Philosophy in MathematicsIn the middle of this century, the English hydrologist Harold E. ...
We establish sufficient conditions on durations that are stationary with finite variance and memory ...
In this paper we present a review of some well-known bootstrap methods for time series data. We conc...
A two-stage forecasting approach for long memory time series is introduced. In the first step, we es...
International audienceTwo recent contributions have found conditions for large dimensional networks ...
Previous work on log-periodogram regression in time series with long range dependence is reviewed. T...
A key stylised fact noted in the irregularly-spaced event literature is long memory in durations. Du...