Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/44665
DC Field | Value | Language |
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dc.contributor.author | Gonçalves, Esmeralda | - |
dc.contributor.author | Mendes-Lopes, Nazaré | - |
dc.contributor.author | Silva, Filipa | - |
dc.date.accessioned | 2017-11-29T15:12:24Z | - |
dc.date.issued | 2015 | - |
dc.identifier.uri | https://hdl.handle.net/10316/44665 | - |
dc.description.abstract | The aim of this paper is to develop a probabilistic study of a wide class of conditionally heteroscedastic models recently introduced in the literature, the compound Poisson INGARCH processes [7]. This class includes, in particular, some well-known models like the Poisson INGARCH of Ferland, Latour, and Oraichi [4] or the negative binomial and generalized Poisson INGARCH introduced by Zhu in 2011 and 2012, respectively. Within this class, we analyze the existence and ergodicity of a strictly and weakly stationary solution. For a new particular model of that class, the Neyman type-A INGARCH model, we derive the autocorrelation function, analyze the existence of higher-order moments, and obtain an explicit form of their first four cumulants, from which we deduce the corresponding skewness and kurtosis. | por |
dc.language.iso | eng | por |
dc.publisher | Springer | por |
dc.relation | info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT | por |
dc.rights | embargoedAccess | - |
dc.title | A New Approach to Integer-Valued Time Series Modeling: The Neyman Type-A INGARCH Model* | por |
dc.type | article | - |
degois.publication.firstPage | 231 | por |
degois.publication.lastPage | 242 | por |
degois.publication.issue | 2 | por |
degois.publication.title | Lithuanian Mathematical Journal | por |
dc.relation.publisherversion | https://link.springer.com/article/10.1007/s10986-015-9276-x | por |
dc.peerreviewed | yes | por |
dc.identifier.doi | 10.1007/s10986-015-9276-x | por |
dc.identifier.doi | 10.1007/s10986-015-9276-x | - |
degois.publication.volume | 55 | por |
dc.date.embargo | 2018-11-29T15:12:24Z | - |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.grantfulltext | open | - |
item.languageiso639-1 | en | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
Appears in Collections: | I&D CMUC - Artigos em Revistas Internacionais |
Files in This Item:
File | Description | Size | Format | |
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Lithuanian Journal_2015.pdf | 161.56 kB | Adobe PDF | View/Open |
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