A note on the stability of multivariate non-linear time series with an application to time series of counts

被引：8

作者：

Debaly, Zinsou Max ^{[1
]}

Truquet, Lionel ^{[1
]}

机构：

[1] UMR CNRS 9194, CREST ENSAI, Campus Ker Lann,Rue Blaise Pascal,BP 37203, F-35172 Bruz, France

来源：

STATISTICS & PROBABILITY LETTERS | 2021年 / 179卷

关键词：

INGARCH models; Random maps; Stationarity; Moments;

D O I：

10.1016/j.spl.2021.109196

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We introduce a simple criterion for studying stationarity and moments properties of some multivariate Markovian autoregressive processes, under a contracting mapping assumption. We apply our results to the Poisson INGARCH model and to one of its multivariate extension recently introduced in the literature. In particular, we obtain optimal stationarity conditions and existence of some exponential moments. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：7

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