Difference equations for the higher order moments and cumulants of the INAR(p) model

• Type: Article in International Scientific Journal
• Date: 2005

Authors

silva, me (Author) FCUP; oliveira, vl (Author) Other

Journal

Title: Journal of Time Series Analysis

Vol. 26

Pages: 17-36

ISSN: 0143-9782

Publisher: Wiley-Blackwell

Indexing

ISI Web of Knowledge - 15 Citations

Scopus - 18 Citations

Scientific classification

FOS: Natural sciences > Mathematics

Other information

Authenticus ID: P-000-65C

DOI: 10.1111/j.1467-9892.2005.00388.x

Abstract (EN): Here we obtain difference equations for the higher order moments and cumulants of a time series {X-t} 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.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 20