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

Christian H. Weiß

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1771-1780

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: Count-data; time; series; Cumulants; INARCH(1); model; Jumps; moments; Overdispersion (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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