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Ergodicity conditions for a double mixed Poisson autoregression

Abdelhakim Aknouche and Nacer Demouche

MPRA Paper from University Library of Munich, Germany

Abstract: 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)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018-03-03
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