Cluster point processes and Poisson thinning INARMA

Zezhun Chen and Angelos Dassios

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this paper, we consider Poisson thinning Integer-valued time series models, namely integervalued moving average model (INMA) and Integer-valued Autoregressive Moving Average model (INARMA), and their relationship with cluster point processes, the Cox point process and the dynamic contagion process. We derive the probability generating functionals of INARMA models and compare to that of cluster point processes. The main aim of this paper is to prove that, under a specific parametric setting, INMA and INARMA models are just discrete versions of continuous cluster point processes and hence converge weakly when the length of subintervals goes to zero.

Keywords: Stochastic intensity model; dynamic contagion process; Integer-valued time series; Poisson thinning (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2022-05-01
New Economics Papers: this item is included in nep-ban, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Stochastic Processes and Their Applications, 1, May, 2022, 147, pp. 456 - 480. ISSN: 0304-4149

Downloads: (external link)
http://eprints.lse.ac.uk/113652/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:113652

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().