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

DOI10.1111/j.1467-9892.2005.00388.xzbMath1091.62086OpenAlexW3125061724MaRDI QIDQ5467591

Vera Lúcia Oliveira, Maria Eduarda Silva

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00388.x

zbMATH Keywords

momentsestimationfrequency domaincumulantsYule-Walker equationsINAR modelsWhittle criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Additive difference equations (39A10)

Related Items (10)

Efficient Estimation of Auto-Regression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models ⋮ The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models ⋮ Conditional least squares estimation for the SINAR(1, 1) process ⋮ Replicated INAR(1) processes ⋮ Local asymptotic normality and efficient estimation for INAR(p) models ⋮ Thinning operations for modeling time series of counts -- a survey ⋮ INAR(1) processes with inflated-parameter generalized power series innovations ⋮ Asymptotic distribution of the Yule--Walker estimator for INAR\((p)\) processes ⋮ A First-Order Spatial Integer-Valued Autoregressive SINAR(1, 1) Model ⋮ Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model

Cites Work

• On the estimation of the parameters of a power spectrum
• An introduction to bispectral analysis and bilinear time series models
• Existence and Stochastic Structure of a Non-negative Integer-valued Autoregressive Process
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
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