Periodic stationarity conditions for mixture periodic INGARCH models
This paper proposes strict periodic stationarity and periodic ergodicity conditions for a finite mixture integer-valued GARCH model with S-periodic time-varying parameters that depend on the state of an independent and periodically distributed regime sequence. In this model, the past conditional mea...
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| Format: | Article |
| Language: | English |
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AIMS Press
2022-03-01
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| Series: | AIMS Mathematics |
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| Online Access: | https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTML |
| _version_ | 1811311752882683904 |
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| author | Bader S. Almohaimeed |
| author_facet | Bader S. Almohaimeed |
| author_sort | Bader S. Almohaimeed |
| collection | DOAJ |
| description | This paper proposes strict periodic stationarity and periodic ergodicity conditions for a finite mixture integer-valued GARCH model with S-periodic time-varying parameters that depend on the state of an independent and periodically distributed regime sequence. In this model, the past conditional mean values depend on the past of the regime variable in the same order, so the model is characterized by path-regime dependence. We also propose sufficient conditions for periodic stationarity when the conditional means are nonlinear of past observations. The results are applied to various discrete conditional distributions. |
| first_indexed | 2024-04-13T10:24:19Z |
| format | Article |
| id | doaj.art-cf9303d93a9e4b59baf13ea4efd3cb9b |
| institution | Directory Open Access Journal |
| issn | 2473-6988 |
| language | English |
| last_indexed | 2024-04-13T10:24:19Z |
| publishDate | 2022-03-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | AIMS Mathematics |
| spelling | doaj.art-cf9303d93a9e4b59baf13ea4efd3cb9b2022-12-22T02:50:23ZengAIMS PressAIMS Mathematics2473-69882022-03-01769809982410.3934/math.2022546Periodic stationarity conditions for mixture periodic INGARCH modelsBader S. Almohaimeed0Department of Mathematics, College of Science, Qassim University, Saudi ArabiaThis paper proposes strict periodic stationarity and periodic ergodicity conditions for a finite mixture integer-valued GARCH model with S-periodic time-varying parameters that depend on the state of an independent and periodically distributed regime sequence. In this model, the past conditional mean values depend on the past of the regime variable in the same order, so the model is characterized by path-regime dependence. We also propose sufficient conditions for periodic stationarity when the conditional means are nonlinear of past observations. The results are applied to various discrete conditional distributions.https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTMLinteger-valued time series modelsfinite mixture modelsperiodic time-varying modelsergodic propertiespath dependence |
| spellingShingle | Bader S. Almohaimeed Periodic stationarity conditions for mixture periodic INGARCH models AIMS Mathematics integer-valued time series models finite mixture models periodic time-varying models ergodic properties path dependence |
| title | Periodic stationarity conditions for mixture periodic INGARCH models |
| title_full | Periodic stationarity conditions for mixture periodic INGARCH models |
| title_fullStr | Periodic stationarity conditions for mixture periodic INGARCH models |
| title_full_unstemmed | Periodic stationarity conditions for mixture periodic INGARCH models |
| title_short | Periodic stationarity conditions for mixture periodic INGARCH models |
| title_sort | periodic stationarity conditions for mixture periodic ingarch models |
| topic | integer-valued time series models finite mixture models periodic time-varying models ergodic properties path dependence |
| url | https://www.aimspress.com/article/doi/10.3934/math.2022546?viewType=HTML |
| work_keys_str_mv | AT badersalmohaimeed periodicstationarityconditionsformixtureperiodicingarchmodels |