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

DOI10.1016/J.SPL.2010.08.001zbMATH Open1202.62125OpenAlexW2127037338MaRDI QIDQ613159FDOQ613159

Authors Christian H. Weiß

Publication date 20 December 2010

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2010.08.001

zbMATH Keywords

momentsoverdispersionjumpscount-data time seriescumulantsINARCH(1) model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The INARCH(1) model for overdispersed time series of counts
• Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model
• Serial dependence and regression of Poisson INARMA models
• Modelling time series of counts with overdispersion
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS

Cites work

• scientific article; zbMATH DE number 3678816 (Why is no real title available?)
• Controlling jumps in correlated processes of Poisson counts
• Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations
• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Jumps in binomial AR(1) processes
• Modelling time series of counts with overdispersion
• Poisson autoregression
• Serial dependence and regression of Poisson INARMA models
• The INARCH(1) model for overdispersed time series of counts
• Thinning operations for modeling time series of counts -- a survey
• Time series of count data: Modeling, estimation and diagnostics

Cited in

(15)

• Noncausal counting processes: a queuing perspective
• Doubly-inflated Poisson INGARCH models for count time series
• Fourth-order moments of augmented arch processes
• The INARCH(1) model for overdispersed time series of counts
• Detecting overdispersion in INARCH(1) processes
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• A Poisson INAR(1) model with serially dependent innovations
• CLAR(1) point forecasting under estimation uncertainty
• Changepoints in times series of counts
• Zero-inflated compound Poisson distributions in integer-valued GARCH models
• On higher-order moments of INGARCH processes
• Integer-valued autoregressive processes with prespecified marginal and innovation distributions: a novel perspective
• Poisson–geometric INAR(1) process for modeling count time series with overdispersion
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Modeling time series of counts with COM-Poisson INGARCH models

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