Strong mixing properties of discrete-valued time series with exogenous covariates

Lionel Truquet

Stochastic Processes and their Applications, 2023, vol. 160, issue C, 294-317

Abstract: We derive strong mixing conditions for many existing discrete-valued time series models that include exogenous covariates in the dynamic. Our main contribution is to study how a mixing condition on the covariate process transfers to a mixing condition for the response. Using a coupling method, we first derive mixing conditions for some Markov chains in random environments, which gives a first result for some autoregressive categorical processes with strictly exogenous regressors. Our result is then extended to some infinite memory categorical processes. In the second part of the paper, we study autoregressive models for which the covariates are sequentially exogenous. Using a general random mapping approach on finite sets, we get explicit mixing conditions that can be checked for many categorical time series found in the literature, including multinomial autoregressive processes, ordinal time series and dynamic multiple choice models. We also study some autoregressive count time series using a somewhat different contraction argument. Our contribution fills an important gap for such models, presented here under a more general form, since such a strong mixing condition is often assumed in some recent works but no general approach is available to check it.

Keywords: INGARCH models; Random maps; Stationarity; Moments (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2023.03.006

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