A note on the stability of multivariate non-linear time series with an application to time series of counts

Zinsou Max Debaly and Lionel Truquet

Statistics & Probability Letters, 2021, vol. 179, issue C

Abstract: We introduce a simple criterion for studying stationarity and moments properties of some multivariate Markovian autoregressive processes, under a contracting mapping assumption. We apply our results to the Poisson INGARCH model and to one of its multivariate extension recently introduced in the literature. In particular, we obtain optimal stationarity conditions and existence of some exponential moments.

Keywords: INGARCH models; Random maps; Stationarity; Moments (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2021.109196

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