{
  "id": "2011.05854",
  "version": "v1",
  "published": "2020-11-11T15:41:47.000Z",
  "updated": "2020-11-11T15:41:47.000Z",
  "title": "Mixing properties of non-stationary INGARCH(1,1) processes",
  "authors": [
    "Paul Doukhan",
    "Anne Leucht",
    "Michael H Neumann"
  ],
  "comment": "24 pages, 2 figures",
  "categories": [
    "math.PR"
  ],
  "abstract": "We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary Poisson-GARCH processes but also for models with an explosive trend. We provide easily verifiable sufficient conditions for absolute regularity for a variety of models including classical (log-)linear models. Finally, we illustrate the practical use of our results for hypothesis testing.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2020-11-11T15:41:47.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G10",
      "60J05"
    ],
    "keywords": [
      "mixing properties",
      "non-stationary ingarch",
      "absolute regularity",
      "poisson count time series satisfying",
      "stationary poisson-garch processes"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 24,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}