Absolute regularity and ergodicity of Poisson count processes

DOI10.3150/10-BEJ313MaRDI QIDQ654407zbMATH OpenFDO

Authors Michael H. Neumann

Publication date 28 December 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1071

zbMATH Keywords

ergodicitytestmixingabsolute regularityinteger-valued processPoisson count process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Markov processes: hypothesis testing (62M02) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stationary stochastic processes (60G10)

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.

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