INARCH(1) processes: Higher-order moments and jumps |
| |
| Authors: | Christian H Weiß |
| |
| Institution: | Darmstadt University of Technology, Department of Mathematics, Schlossgartenstraße 7, D-64289 Darmstadt, Germany |
| |
| 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: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
