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On higher-order moments of INGARCH processes

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  • Weiß, Christian H.

Abstract

For important count distributions, such as (zero-inflated) Poisson and (negative-)binomial, the kth factorial moment is proportional to the kth 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.

Suggested Citation

  • Weiß, Christian H., 2024. "On higher-order moments of INGARCH processes," Statistics & Probability Letters, Elsevier, vol. 214(C).
    • Handle: RePEc:eee:stapro:v:214:y:2024:i:c:s0167715224001676
    DOI: 10.1016/j.spl.2024.110198
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