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https://hdl.handle.net/10216/99212
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DC Field | Value | Language |
---|---|---|
dc.creator | Isabel Silva | |
dc.creator | M. Eduarda Silva | |
dc.date.accessioned | 2019-02-08T00:05:15Z | - |
dc.date.available | 2019-02-08T00:05:15Z | - |
dc.date.issued | 2008 | |
dc.identifier.other | sigarra:57902 | |
dc.identifier.uri | https://repositorio-aberto.up.pt/handle/10216/99212 | - |
dc.description.abstract | The high-order statistics (moments and cumulants of order higher than two) have been widely applied in several fields, specially in problems where it is conjectured a lack of Gaussianity and/or non-linearity. Since the INteger-valued AutoRegressive, INAR, models are non-Gaussian, the high-order statistics can provide additional information that allows a better characterization of these processes. Thus, an estimation method for the parameters of an INAR model, based on Least Squares applied on third-order moments is proposed. The results of a Monte Carlo study, to investigate the performance of the estimator, are presented and the method is applied to a set of real data. | |
dc.language.iso | eng | |
dc.relation.ispartof | COMPSTAT 2008 - Proceedings in Computational Statistics | |
dc.rights | restrictedAccess | |
dc.subject | Estatística, Matemática | |
dc.subject | Statistics, Mathematics | |
dc.title | Parameter estimation for INAR processes based on high-order statistics | |
dc.type | Capítulo ou Parte de Livro | |
dc.contributor.uporto | Faculdade de Economia | |
dc.contributor.uporto | Faculdade de Engenharia | |
dc.subject.fos | Ciências exactas e naturais::Matemática | |
dc.subject.fos | Natural sciences::Mathematics | |
Appears in Collections: | FEP - Capítulo ou Parte de Livro FEUP - Capítulo ou Parte de Livro |
Files in This Item:
File | Description | Size | Format | |
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57902.pdf Restricted Access | 165.21 kB | Adobe PDF | Request a copy from the Author(s) |
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