Journal
STATISTICS
Volume 50, Issue 3, Pages 558-578Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/02331888.2015.1114622
Keywords
integer-valued GARCH model; zero inflation; compound distributions; 62M10
Categories
Funding
- Centre for Mathematics of the University of Coimbra - Portuguese Government through FCT/MEC [UID/MAT/00324/2013]
- European Regional Development Fund [PT2020]
- Fundacao para a Ciencia e a Tecnologia [SFRH/BD/85336/2012]
- Fundação para a Ciência e a Tecnologia [SFRH/BD/85336/2012] Funding Source: FCT
Ask authors/readers for more resources
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.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available