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.
Bernoulli
28(1):
663-688
(February 2022).
DOI: 10.3150/21-BEJ1362
ACCESS THE FULL ARTICLE
It is not available for individual sale.
This article is only available to subscribers.
It is not available for individual sale.
It is not available for individual sale.
