Strong mixing properties of discrete-valued time series with exogenous covariates

Smoothing Estimation for Discrete-Valued Time Series

We deal with the smoothed estimators for conditional probability functions of discrete-valued time series fY t g under two diierent settings. When the conditional distribution of Y t given its lagged values falls in a parametric family and depends on exogenous random variables, a smoothed maximum (partial) likelihood estimator for the unknown parameter is proposed. While there is no prior infor...

Mixing Properties of Harris Chains and Time Series Krishna

Let {Y :n ~ o} be a Harris-recurrent Markov chain on a general state n space. It is shown that {Y J is strong mixing, provided there exists a n stationary probability distribution ~(.) for {Y}. We use this result to n establish that certain stationary autoregressive moving average processes are strong mixing. Necessary and sufficient conditions for a first order autoregressive process to be uni...

Clustering life trajectories: A new divisive hierarchical clustering algorithm for discrete-valued discrete time series

Modelling discrete valued cross sectional time series with observation driven models

This paper develops computationally feasible methods for estimating random effects models in the context of regression modelling of multiple independent time series of discrete valued counts in which there is serial dependence. Given covariates, random effects and process history, the observed responses at each time in each series are independent and have an exponential family distribution. We ...

On the class of graphs with strong mixing properties

We study three mixing properties of a graph: large algebraic connectivity, large Cheeger constant (isoperimetric number) and large spectral gap from 1 for the second largest eigenvalue of the transition probability matrix of the random walk on the graph. We prove equivalence of this properties (in some sense). We give estimates for the probability for a random graph to satisfy these properties....