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Journal article Scopus Source The journal / series is indexed in Scopus (SCImago list). The article itself has not been verified. 23 Citations Quartil Q1

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

Maria Eduarda Silva , OLIVEIRA, VERA
ISLA — Instituto Politécnico de Gestão e Tecnologia
Journal of Time Series Analysis, Volume 26, Issue 1, 01 2005, pp. 17–36
DOI: 10.1111/j.1467-9892.2005.00388.x

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Abstract
Abstract.  Here we obtain difference equations for the higher order moments and cumulants of a time series {Xt} satisfying an INAR(p) model. These equations are similar to the difference equations for the higher order moments and cumulants of the bilinear time series model. We obtain the spectral and bispectral density functions for the INAR(p) process in state–space form, thus characterizing it in the frequency domain. We consider a frequency domain method – the Whittle criterion – to estimate the parameters of the INAR(p) model and illustrate it with the series of the number of epilepsy seizures of a patient.

Keywords

#integer-valued autoregressive models #higher-order moments #cumulants #recurrence relations #bilinear time series models #power spectrum #state-space model #Whittle estimation #Mathematics #Cumulant #Autoregressive model #Bilinear interpolation #Applied mathematics #Series (stratigraphy)

Bibliographic Details

Publication Type Journal article
Publication Year 2005
Journal / Conference / Work Journal of Time Series Analysis
ISSN 0143-9782
Volume / Issue Vol. 26 (1)
Pagination pp. 17–36
Quartile (SCImago) Q1
Scopus Indexing Indexed source (via SCImago)

ISLA Authors & Affiliations

V
Vera Lúcia Teixeira Alves de Oliveira
verlucia@iscap.ipp.pt ID: 7619-6618-B4A7
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