期刊
STATISTICS
卷 50, 期 3, 页码 558-578出版社
TAYLOR & FRANCIS LTD
DOI: 10.1080/02331888.2015.1114622
关键词
integer-valued GARCH model; zero inflation; compound distributions; 62M10
资金
- 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
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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据