Modelling Volatility of Spatio-temporal Integer-valued Data with Network Structure and Asymmetry
具有网络结构与非对称性的时空整数值数据波动建模
This paper proposes a spatial threshold GARCH-type model for dynamic spatio-temporal integer-valued data with network structure. The proposed model can simplify the parameterization by using network structure in data, and can capture the asymmetric property in dynamic volatility by adopting a threshold structure. The proposed model assumes the conditional distribution is Poisson distribution. Asymptotic theory of maximum likelihood estimation (MLE) for the spatial model is…