On periodic ergodicity of a general periodic mixed Poisson autoregression

DOI10.1016/j.spl.2017.10.014zbMath1440.62327OpenAlexW2767671428MaRDI QIDQ1698240

Abdelhakim Aknouche, Nacer Demouche, Wissam Bentarzi

Publication date: 15 February 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/79650/2/MPRA_paper_79650.pdf

zbMATH Keywords

weak dependenceperiodic ergodicitystrict periodic stationarityperiodic contractionnon-linear INGARCH modelsperiodic mixed Poisson autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

QMLE of periodic integer-valued time series models ⋮ On some periodic INARMA(p,q) models ⋮ Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ Seasonal count time series ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Ergodicity conditions for a double mixed Poisson autoregression

Cites Work

• On weak dependence conditions for Poisson autoregressions
• Estimation and testing linearity for non-linear mixed Poisson autoregressions
• Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
• Log-linear Poisson autoregression
• Absolute regularity and ergodicity of Poisson count processes
• Weakly dependent chains with infinite memory
• Coupling for \(\tau\)-dependent sequences and applications
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Poisson QMLE of Count Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Periodic integer-valued GARCH(1, 1) model
• Poisson Autoregression
• Integer-Valued GARCH Process
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Self-Excited Threshold Poisson Autoregression
• A negative binomial integer-valued GARCH model
• A Generalized Negative Binomial Distribution

This page was built for publication: On periodic ergodicity of a general periodic mixed Poisson autoregression