INARCH(1) processes: Higher-order moments and jumps

Article English OPEN
Weiß, Christian H.;
  • Publisher: Elsevier
  • Identifiers: doi: 10.1016/j.spl.2010.08.001
  • Subject: Cumulants | [INFO.INFO-BI]Computer Science [cs]/Bioinformatics [q-bio.QM] | INARCH(1) model | [SDV.BIBS]Life Sciences [q-bio]/Quantitative Methods [q-bio.QM] | moments | Jumps | Count-data time series | Overdispersion

International audience; The INARCH(1) model is a simple but practically relevant, two-parameter model for processes of overdispersed counts with an autoregressive serial dependence structure. We derive closed-form expressions for the joint (central) moments and cumulant... View more
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