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

DOI10.1016/J.SPA.2023.03.006MaRDI QIDQ6044255zbMATH OpenFDO

Authors Lionel Truquet

Publication date 17 May 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2112.03121

zbMATH Keywords

INGARCH modelsmomentsrandom mapsstationarity

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We derive strong mixing conditions for many existing discrete-valued time series models that include exogenous covariates in the dynamic. Our main contribution is to study how a mixing condition on the covariate process transfers to a mixing condition for the response. Using a coupling method, we first derive mixing conditions for some Markov chains in random environments, which gives a first result for some autoregressive categorical processes with strictly exogenous regressors. Our result is then extended to some infinite memory categorical processes. In the second part of the paper, we study autoregressive models for which the covariates are sequentially exogenous. Using a general random mapping approach on finite sets, we get explicit mixing conditions that can be checked for many categorical time series found in the literature, including multinomial autoregressive processes, ordinal time series and dynamic multiple choice models. We also study some autoregressive count time series using a somewhat different contraction argument. Our contribution fill an important gap for such models, presented here under a more general form, since such a strong mixing condition is often assumed in some recent works but no general approach is available to check it.

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Cited in

(2)

• A generalization bound of deep neural networks for dependent data
• Transition of -mixing in random iterations with applications in queuing theory

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