Stationarity and ergodic properties for some observation-driven models in random environments

DOI10.1214/23-AAP1944arXiv2007.07623OpenAlexW3043298365MaRDI QIDQ6180367FDOQ6180367

Michael H. Neumann, Lionel Truquet, Paul Doukhan

Publication date: 19 January 2024

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Abstract: The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive latent process which forms a Markov chain in random environments. Contrarily to existing contributions in the field of Markov chains in random environments, the state space is not discrete and we do not use small set type assumptions or uniform contraction conditions for the random Markov kernels. Our assumptions are quite general and allows to deal with models that are not fully contractive, such as threshold autoregressive processes. Using a coupling approach, we study the existence of a limit, in Wasserstein metric, for the backward iterations of the chain. We also derive ergodic properties for the corresponding skew-product Markov chain. Our results are illustrated with many examples of autoregressive processes widely used in statistics or in econometrics, including GARCH type processes, count autoregressions and categorical time series.

Full work available at URL: https://arxiv.org/abs/2007.07623

zbMATH Keywords

time seriesMarkov chainsrandom environment

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Processes in random environments (60K37)

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