Fokianos, Konstantinos; Tjøstheim, Dag - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1205-1225
We study statistical properties of a class of non-linear models for regression analysis of count time series. Under mild conditions, it is shown that a perturbed version of the model is geometrically ergodic and possesses moments of any order. This result turns out to be instrumental on deriving...