| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152722 | Statistics & Probability Letters | 2010 | 10 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian H. Weiß,