Stationarity and Moment Properties of some Multivariate Count Autoregressions
Abstract
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate count time series models introduced recently by Doukhan et al. (2017). We improve many existing results by providing optimal stationarity conditions or conditions ensuring existence of some exponential moments.
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