Absolute regularity and ergodicity of Poisson count processes
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Publication:654407
DOI10.3150/10-BEJ313zbMATH Open1277.60089arXiv1201.1071MaRDI QIDQ654407FDOQ654407
Authors: Michael H. Neumann 
Publication date: 28 December 2011
Published in: Bernoulli (Search for Journal in Brave)
Abstract: We consider a class of observation-driven Poisson count processes where the current value of the accompanying intensity process depends on previous values of both processes. We show under a contractive condition that the bivariate process has a unique stationary distribution and that a stationary version of the count process is absolutely regular. Moreover, since the intensities can be written as measurable functionals of the count variables, we conclude that the bivariate process is ergodic. As an important application of these results, we show how a test method previously used in the case of independent Poisson data can be used in the case of Poisson count processes.
Full work available at URL: https://arxiv.org/abs/1201.1071
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