| Speaker: | Fukang Zhu |
|---|---|
| Speaker Intro: |
Professor at Jilin University CV of Prof. Fukang Zhu |
| Host: | |
| Description： | Abstract: In this talk, I will review some recent progresses in modeling integer-valued time series data and mainly focus on two kinds of models: integer-valued autoregressive model and integer-valued GARCH model. Starting with motivations of these models, I discuss some fundamental issues, i.e. ergodicity and parameter estimation. A negative binomial integer-valued GARCH model is considered in details, real data analysis shows its superior performance compared with other models. |
| Time: | 2015-05-15 16:40-18:00 |
| Venue: | N302, Econ Building |
| Organizer: | WISE-SOE |