On periodic ergodicity of a general periodic mixed Poisson autoregression
Wissam Bentarzi and
MPRA Paper from University Library of Munich, Germany
We propose a general class of non-linear mixed Poisson autoregressions whose form and parameters are periodic over time. Under a periodic contraction condition on the forms of the conditional mean, we show the existence of a unique nonanticipative solution to the model, which is strictly periodically stationary, periodically ergodic and periodically weakly dependent having in the pure Poisson case finite higher-order moments. Applications to some well-known integer-valued time series models are considered.
Keywords: Periodic mixed Poisson autoregression; periodic INGARCH models; non-linear INGARCH models; weak dependence; strict periodic stationarity; periodic ergodicity; periodic contraction condition. (search for similar items in EconPapers)
JEL-codes: C10 C19 C51 C62 (search for similar items in EconPapers)
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