Zero-inflated compound Poisson distributions in integer-valued GARCH models
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/44664 https://doi.org/10.1080/02331888.2015.1114622 |
Resumo: | In this paper we introduce a wide class of integer-valued stochastic processes that allows to take into consideration, simultaneously, relevant characteristics observed in count data namely zero inflation, overdispersion and conditional heteroscedasticity. This class includes, in particular, the compound Poisson, the zero-inflated Poisson and the zero-inflated negative binomial INGARCH models, recently proposed in literature. The main probabilistic analysis of this class of processes is here developed. Precisely, first- and second-order stationarity conditions are derived, the autocorrelation function is deduced and the strict stationarity is established in a large subclass. We also analyse in a particular model the existence of higher-order moments and deduce the explicit form for the first four cumulants, as well as its skewness and kurtosis. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Zero-inflated compound Poisson distributions in integer-valued GARCH modelsIn this paper we introduce a wide class of integer-valued stochastic processes that allows to take into consideration, simultaneously, relevant characteristics observed in count data namely zero inflation, overdispersion and conditional heteroscedasticity. This class includes, in particular, the compound Poisson, the zero-inflated Poisson and the zero-inflated negative binomial INGARCH models, recently proposed in literature. The main probabilistic analysis of this class of processes is here developed. Precisely, first- and second-order stationarity conditions are derived, the autocorrelation function is deduced and the strict stationarity is established in a large subclass. We also analyse in a particular model the existence of higher-order moments and deduce the explicit form for the first four cumulants, as well as its skewness and kurtosis.Taylor & Francis2015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/44664http://hdl.handle.net/10316/44664https://doi.org/10.1080/02331888.2015.1114622https://doi.org/10.1080/02331888.2015.1114622enghttp://www.tandfonline.com/doi/full/10.1080/02331888.2015.1114622Gonçalves, EsmeraldaMendes-Lopes, NazaréSilva, Filipainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:03:11Zoai:estudogeral.uc.pt:10316/44664Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:24.980529Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
title |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
spellingShingle |
Zero-inflated compound Poisson distributions in integer-valued GARCH models Gonçalves, Esmeralda |
title_short |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
title_full |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
title_fullStr |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
title_full_unstemmed |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
title_sort |
Zero-inflated compound Poisson distributions in integer-valued GARCH models |
author |
Gonçalves, Esmeralda |
author_facet |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
author_role |
author |
author2 |
Mendes-Lopes, Nazaré Silva, Filipa |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Gonçalves, Esmeralda Mendes-Lopes, Nazaré Silva, Filipa |
description |
In this paper we introduce a wide class of integer-valued stochastic processes that allows to take into consideration, simultaneously, relevant characteristics observed in count data namely zero inflation, overdispersion and conditional heteroscedasticity. This class includes, in particular, the compound Poisson, the zero-inflated Poisson and the zero-inflated negative binomial INGARCH models, recently proposed in literature. The main probabilistic analysis of this class of processes is here developed. Precisely, first- and second-order stationarity conditions are derived, the autocorrelation function is deduced and the strict stationarity is established in a large subclass. We also analyse in a particular model the existence of higher-order moments and deduce the explicit form for the first four cumulants, as well as its skewness and kurtosis. |
publishDate |
2015 |
dc.date.none.fl_str_mv |
2015 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/44664 http://hdl.handle.net/10316/44664 https://doi.org/10.1080/02331888.2015.1114622 https://doi.org/10.1080/02331888.2015.1114622 |
url |
http://hdl.handle.net/10316/44664 https://doi.org/10.1080/02331888.2015.1114622 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
http://www.tandfonline.com/doi/full/10.1080/02331888.2015.1114622 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Taylor & Francis |
publisher.none.fl_str_mv |
Taylor & Francis |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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