On periodic ergodicity of a general periodic mixed Poisson autoregression
| Autor: | Abdelhakim Aknouche, Nacer Demouche, Wissam Bentarzi |
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| Rok vydání: | 2018 |
| Předmět: |
Statistics and Probability
Series (mathematics) 05 social sciences Ergodicity Mathematical analysis Poisson distribution Conditional expectation 01 natural sciences 010104 statistics & probability Nonlinear system symbols.namesake Autoregressive model 0502 economics and business symbols Ergodic theory 0101 mathematics Statistics Probability and Uncertainty Contraction (operator theory) 050205 econometrics Mathematics |
| Zdroj: | Statistics & Probability Letters. 134:15-21 |
| ISSN: | 0167-7152 |
| Popis: | 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 moments of any (integer) order. Applications to some well-known integer-valued time series models are considered. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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