On higher-order moments of INGARCH processes

Christian H. Weiß

Statistics & Probability Letters, 2024, vol. 214, issue C

Abstract: For important count distributions, such as (zero-inflated) Poisson and (negative-)binomial, the kth factorial moment is proportional to the kth power of the mean. This property is utilized to derive a general approach for computing higher-order moments of integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) processes. The proposed approach covers a wide range of existing model specifications, and its potential benefits are illustrated by an analysis of skewness and excess kurtosis in INGARCH processes.

Keywords: Count data; Excess kurtosis; Factorial moments; INGARCH model; Skewness (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110198

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