Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion

被引：111

作者：

Schweer, Sebastian ^{[1
]}

Weiss, Christian H. ^{[2
]}

机构：

[1] Heidelberg Univ, Inst Appl Math, D-69120 Heidelberg, Germany

[2] Univ Hamburg, Dept Math & Stat, D-22008 Hamburg, Germany

来源：

COMPUTATIONAL STATISTICS & DATA ANALYSIS | 2014年 / 77卷

关键词：

Compound Poisson distribution; INAR(1) model; Joint moments; alpha-mixing; Index of dispersion; DISCRETE-DISTRIBUTIONS; SELF-DECOMPOSABILITY;

D O I：

10.1016/j.csda.2014.03.005

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly mixing with exponentially decreasing weights. This result is utilized to design a test for overdispersion in INAR(1) processes and to derive its asymptotic power function. An application of our results to a real-data example and a study of the finite-sample performance of the test are presented. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：267 / 284

页数：18

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