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https://hdl.handle.net/10316/44665
Title: | A New Approach to Integer-Valued Time Series Modeling: The Neyman Type-A INGARCH Model* | Authors: | Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
Issue Date: | 2015 | Publisher: | Springer | Project: | info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT | Serial title, monograph or event: | Lithuanian Mathematical Journal | Volume: | 55 | Issue: | 2 | Abstract: | The aim of this paper is to develop a probabilistic study of a wide class of conditionally heteroscedastic models recently introduced in the literature, the compound Poisson INGARCH processes [7]. This class includes, in particular, some well-known models like the Poisson INGARCH of Ferland, Latour, and Oraichi [4] or the negative binomial and generalized Poisson INGARCH introduced by Zhu in 2011 and 2012, respectively. Within this class, we analyze the existence and ergodicity of a strictly and weakly stationary solution. For a new particular model of that class, the Neyman type-A INGARCH model, we derive the autocorrelation function, analyze the existence of higher-order moments, and obtain an explicit form of their first four cumulants, from which we deduce the corresponding skewness and kurtosis. | URI: | https://hdl.handle.net/10316/44665 | DOI: | 10.1007/s10986-015-9276-x 10.1007/s10986-015-9276-x |
Rights: | embargoedAccess |
Appears in Collections: | I&D CMUC - Artigos em Revistas Internacionais |
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Lithuanian Journal_2015.pdf | 161.56 kB | Adobe PDF | View/Open |
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