Article ID Journal Published Year Pages File Type
6869892 Computational Statistics & Data Analysis 2014 18 Pages PDF
Abstract
The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly mixing with exponentially decreasing weights. This result is utilized to design a test for overdispersion in INAR(1) processes and to derive its asymptotic power function. An application of our results to a real-data example and a study of the finite-sample performance of the test are presented.
Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
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