Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model

Maria Eduarda Silva and Vera Lúcia Oliveira

Journal of Time Series Analysis, 2005, vol. 26, issue 1, 17-36

Abstract: Abstract. Here we obtain difference equations for the higher order moments and cumulants of a time series {Xt} satisfying an INAR(p) model. These equations are similar to the difference equations for the higher order moments and cumulants of the bilinear time series model. We obtain the spectral and bispectral density functions for the INAR(p) process in state–space form, thus characterizing it in the frequency domain. We consider a frequency domain method – the Whittle criterion – to estimate the parameters of the INAR(p) model and illustrate it with the series of the number of epilepsy seizures of a patient.

Date: 2005
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