关于 INGARCH 过程的高阶矩

IF 0.9 4区数学 Q3 STATISTICS & PROBABILITY Statistics & Probability Letters Pub Date : 2024-07-02 DOI:10.1016/j.spl.2024.110198

Christian H. Weiß

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引用次数: 0

摘要

对于重要的计数分布，如（零膨胀）泊松和（负）二项分布，第 k 个阶乘矩与均值的第 k 次幂成正比。利用这一特性，可以推导出计算整值广义自回归条件异方差（INGARCH）过程高阶矩的一般方法。所提出的方法涵盖了多种现有模型规格，并通过分析 INGARCH 过程中的偏度和过度峰度说明了其潜在优势。

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On higher-order moments of INGARCH processes

For important count distributions, such as (zero-inflated) Poisson and (negative-)binomial, the $k$ th factorial moment is proportional to the $k$ th power of the mean. This property is utilized to derive a general approach for computing higher-order moments of integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) processes. The proposed approach covers a wide range of existing model specifications, and its potential benefits are illustrated by an analysis of skewness and excess kurtosis in INGARCH processes.

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来源期刊

Statistics & Probability Letters 数学-统计学与概率论

CiteScore

1.60

自引率

0.00%

发文量

173

审稿时长

6 months

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