INARCH(1) processes: Higher-order moments and jumps
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 the moments of jumps in INARCH(1) processes. We illustrate this kind of application with a real-data example, and outline further potential applications.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 80 (2010)
Issue (Month): 23-24 (December)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fukang Zhu & Dehui Wang, 2011. "Estimation and testing for a Poisson autoregressive model," Metrika, Springer, vol. 73(2), pages 211-230, March.
- Zhu, Fukang & Wang, Dehui, 2010. "Diagnostic checking integer-valued ARCH(p) models using conditional residual autocorrelations," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 496-508, February.
- Heinen, Andreas, 2003.
"Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model,"
8113, University Library of Munich, Germany.
- HEINEN, AndrÃ©as, 2003. "Modelling time series count data: an autoregressive conditional Poisson model," CORE Discussion Papers 2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
- HEINEN, Andreas & RENGIFO, Erick, 2003. "Multivariate modelling of time series count data: an autoregressive conditional Poisson model," CORE Discussion Papers 2003025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Weiß, Christian H., 2009. "Jumps in binomial AR(1) processes," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2012-2019, October.
- Fokianos, Konstantinos & Rahbek, Anders & TjÃ¸stheim, Dag, 2009.
Journal of the American Statistical Association,
American Statistical Association, vol. 104(488), pages 1430-1439.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2009. "Poisson Autoregression," CREATES Research Papers 2009-12, School of Economics and Management, University of Aarhus.
- Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, 05.
- Christian Weiß, 2009. "Modelling time series of counts with overdispersion," Statistical Methods and Applications, Springer, vol. 18(4), pages 507-519, November.
- René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer-Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
- Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 319-341, August.
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:80:y:2010:i:23-24:p:1771-1780. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.