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Ergodicity conditions for a double mixed Poisson autoregression

Aknouche, Abdelhakim and Demouche, Nacer (2018): Ergodicity conditions for a double mixed Poisson autoregression.

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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.

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