Stationarity and Moment Properties of some Multivariate Count Autoregressions
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Publication:6325944
arXiv1909.11392MaRDI QIDQ6325944FDOQ6325944
Authors: Zinsou-Max Debaly, Lionel Truquet 
Publication date: 25 September 2019
Abstract: We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate count time series models introduced recently by Doukhan et al. (2017). We improve many existing results by providing optimal stationarity conditions or conditions ensuring existence of some exponential moments.
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