Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion

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 mixin...

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Veröffentlicht in:	Computational statistics & data analysis 2014-09, Vol.77, p.267-284
Hauptverfasser:	Schweer, Sebastian, Weiß, Christian H.
Format:	Artikel
Sprache:	eng
Schlagworte:	[formula omitted]-mixing Asymptotic properties Compound Poisson distribution Counting Data processing Design engineering INAR model Index of dispersion Joint moments Mathematical analysis Mathematical models Statistics Time series
Online-Zugang:	Volltext
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