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

Article English OPEN
Weiß , Christian H. (2010)
  • Publisher: HAL CCSD
  • Related identifiers: doi: 10.1016/j.spl.2010.08.001
  • Subject: Cumulants | INARCH(1) model | moments | [ SDV.BIBS ] Life Sciences [q-bio]/Quantitative Methods [q-bio.QM] | Jumps | Count-data time series | Overdispersion | [ INFO.INFO-BI ] Computer Science [cs]/Bioinformatics [q-bio.QM]

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 cumulants of the INARCH(1) model up to order 4. These expressions are applied to derive moments of jumps in INARCH(1) processes. We illustrate this kind of application with a real-data example, and outline further potential applications.
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