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

Paul Doukhan; Anne Leucht; Michael H Neumann

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arXiv · 2011.05854

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

Paul Doukhan·Anne Leucht·Michael H Neumann

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Abstract

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.

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Paul Doukhan, Anne Leucht, Michael H Neumann. 2020-11-11. Mixing properties of non-stationary INGARCH(1,1) processes. https://arxiv.org/abs/2011.05854

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