Mixing properties of non-stationary INGARCH(1,1) processes

被引：3

作者：

Doukhan, Paul ^{[1
]}

Leucht, Anne ^{[2
]}

Neumann, Michael H. ^{[3
]}

机构：

[1] CY Univ, UMR Anal Geometr & Modelisat 8088, 2 Ave Adolphe Chauvin, F-95302 Cergy Pontoise, France

[2] Univ Bamberg, Res Grp Stat & Math, Feldkirchenstr 21, D-96052 Bamberg, Germany

[3] Friedrich Schiller Univ Jena, Inst Math, Ernst Abbe Pl 2, D-07743 Jena, Germany

来源：

BERNOULLI | 2022年 / 28卷 / 01期

关键词：

Absolute regularity; coupling; INGARCH; mixing; ABSOLUTE REGULARITY; POISSON;

D O I：

10.3150/21-BEJ1362

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：663 / 688

页数：26

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