Mixing properties of non-stationary INGARCH(1,1) processes
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Publication:6353530
DOI10.3150/21-BEJ1362arXiv2011.05854MaRDI QIDQ6353530FDOQ6353530
Anne Leucht, Paul Doukhan, Michael H. Neumann
Publication date: 11 November 2020
Abstract: We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary Poisson-GARCH processes but also for models with an explosive trend. We provide easily verifiable sufficient conditions for absolute regularity for a variety of models including classical (log-)linear models. Finally, we illustrate the practical use of our results for hypothesis testing.
Parametric inference (62Fxx) Limit theorems in probability theory (60Fxx) Inference from stochastic processes (62Mxx)
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