Mixing properties of non-stationary INGARCH(1,1) processes
By Anne Leucht
Appears in collection : Adaptive and High-Dimensional Spatio-Temporal Methods for Forecasting / Méthodes spatio-temporelles adaptatives et en grande dimension pour la prédiction
In this talk, I will present mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we obtain absolute regularity at a geometric rate not only for stationary Poisson-GARCH processes but also for models with an explosive trend. Easily verifiable sufficient conditions for absolute regularity can be deduced from our general results for a variety of models including classical (log-)linear models.
