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Modelling time series of counts with overdispersion

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Abstract

The time series of counts observed in practice often exhibit overdispersion. The INGARCH(p, q) models are able to describe integer-valued processes with overdispersion. Known properties of these models, however, are nearly exclusively restricted to the special case p = q = 1. In this article, we derive a set of equations from which the variance and the autocorrelation function of the general case can be obtained. We investigate the purely autoregressive INGARCH(p, 0) models and show that they are closely related to the standard AR(p) models. For p = 1, we determine the marginal distribution in terms of its cumulants. A real-data example highlights potential fields of application of the INGARCH(p, 0) models.

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Authors and Affiliations

  1. Institute of Mathematics, Department of Statistics, University of Würzburg, Am Hubland, 97074, Würzburg, Germany

    Christian H. Weiß

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  1. Christian H. Weiß
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Correspondence to Christian H. Weiß.

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Weiß, C.H. Modelling time series of counts with overdispersion. Stat Methods Appl 18, 507–519 (2009). https://doi.org/10.1007/s10260-008-0108-6

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  • DOI: https://doi.org/10.1007/s10260-008-0108-6

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