Ergodicity conditions for a double mixed Poisson autoregression

DOI10.1016/J.SPL.2018.11.030zbMath1450.62107OpenAlexW2905645835MaRDI QIDQ1726882

Abdelhakim Aknouche, Nacer Demmouche

Publication date: 20 February 2019

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

Full work available at URL: https://mpra.ub.uni-muenchen.de/88843/1/MPRA_paper_88843.pdf

zbMATH Keywords

ergodicityweak dependencecontraction in meandouble mixed Poisson autoregressionMarkov switching INGARCHnegative binomial mixture INGARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Related Items (4)

A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION ⋮ Stationarity and ergodicity of Markov switching positive conditional mean models ⋮ Asymptotic negative binomial quasi-likelihood inference for periodic integer-valued time series models ⋮ On an independent-switching periodic autoregressive conditional duration

Cites Work

• Unnamed Item
• Unnamed Item
• On weak dependence conditions for Poisson autoregressions
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Weakly dependent chains with infinite memory
• A mixture integer-valued ARCH model
• Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
• A negative binomial mixture integer-valued GARCH model
• On periodic ergodicity of a general periodic mixed Poisson autoregression
• Coupling for \(\tau\)-dependent sequences and applications
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Theory and inference for a Markov switching GARCH model
• On an independent and identically distributed mixture bilinear time-series model
• A negative binomial integer-valued GARCH model

This page was built for publication: Ergodicity conditions for a double mixed Poisson autoregression