Ergodicity conditions for a double mixed Poisson autoregression

We propose a double mixed Poisson autoregression in which the intensity, scaled by a unit mean independent and identically distributed (iid) mixing process, has different regime specifications according to the state of a finite unobserved iid chain. Under some contraction in mean conditions, we show that the proposed model is strictly stationary and ergodic with a finite mean. Applications to various count time series models are given.

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Year of publication:	2018-03-03
Authors:	Aknouche, Abdelhakim ; Demouche, Nacer

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Aknouche, Abdelhakim and Demouche, Nacer (2018): Ergodicity conditions for a double mixed Poisson autoregression.
Classification:	C40 - Econometric and Statistical Methods: Special Topics. General ; c46 ; C50 - Econometric Modeling. General
Source:	BASE

Persistent link: https://www.econbiz.de/10015261519