Ergodicity conditions for a double mixed Poisson autoregression
Abdelhakim Aknouche and
MPRA Paper from University Library of Munich, Germany
We propose a double mixed Poisson autoregression in which the intensity, scaled by a unit mean independent and identically distributed (iid) mixing process, has different regime specifications according to the state of a finite unobserved iid chain. Under some contraction in mean conditions, we show that the proposed model is strictly stationary and ergodic with a finite mean. Applications to various count time series models are given.
Keywords: Double mixed Poisson autoregression; negative binomial mixture INGARCH model; ergodicity; weak dependence; contraction in mean (search for similar items in EconPapers)
JEL-codes: C40 C46 C50 (search for similar items in EconPapers)
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