Mixing properties of non-stationary INGARCH(1,1) processes
Probability
2021-04-08 v2
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.
Keywords
Cite
@article{arxiv.2011.05854,
title = {Mixing properties of non-stationary INGARCH(1,1) processes},
author = {Paul Doukhan and Anne Leucht and Michael H Neumann},
journal= {arXiv preprint arXiv:2011.05854},
year = {2021}
}
Comments
24 pages, 2 figures