Difference Equations for the Higher Order Moments and Cumulants of the Inar(P) Model

20 Pages Posted: 7 Jan 2005

See all articles by Maria Eduarda Silva

Maria Eduarda Silva

Universidade do Porto - Departamento de Matematica Aplicada

Vera Lucia Oliveira

Universidade do Porto

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: INAR models, moments, cumulants, Yule-Walker equations, estimation, frequency domain, Whittle's criterion

Suggested Citation

Silva, Maria Eduarda and Oliveira, Vera Lucia, Difference Equations for the Higher Order Moments and Cumulants of the Inar(P) Model. Available at SSRN: https://ssrn.com/abstract=643903

Maria Eduarda Silva (Contact Author)

Universidade do Porto - Departamento de Matematica Aplicada ( email )

Rua das Taipas 135
4050 600 Porto
Portugal

Vera Lucia Oliveira

Universidade do Porto

Rua Roberto Frias
s/n
Porto, 4200-464
Portugal

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