Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/44664
Title: | Zero-inflated compound Poisson distributions in integer-valued GARCH models | Authors: | Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
Issue Date: | 2015 | Publisher: | Taylor & Francis | Project: | info:eu-repo/grantAgreement/FCT/5876/147205/PT | Serial title, monograph or event: | Statistics | Volume: | 50 | Issue: | 3 | Abstract: | In this paper we introduce a wide class of integer-valued stochastic processes that allows to take into consideration, simultaneously, relevant characteristics observed in count data namely zero inflation, overdispersion and conditional heteroscedasticity. This class includes, in particular, the compound Poisson, the zero-inflated Poisson and the zero-inflated negative binomial INGARCH models, recently proposed in literature. The main probabilistic analysis of this class of processes is here developed. Precisely, first- and second-order stationarity conditions are derived, the autocorrelation function is deduced and the strict stationarity is established in a large subclass. We also analyse in a particular model the existence of higher-order moments and deduce the explicit form for the first four cumulants, as well as its skewness and kurtosis. | URI: | https://hdl.handle.net/10316/44664 | DOI: | 10.1080/02331888.2015.1114622 10.1080/02331888.2015.1114622 |
Rights: | embargoedAccess |
Appears in Collections: | I&D CMUC - Artigos em Revistas Internacionais |
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zero-inflated distributions_24092015.pdf | 276.22 kB | Adobe PDF | View/Open |
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