Silva, Maria Eduarda; Oliveira, Vera Lucia - In: Journal of Time Series Analysis 26 (2005) 1, pp. 17-36
Here we obtain difference equations for the higher order moments and cumulants of a time series {X_t} satisfying an INAR(p) model. These equations are similar to the difference equations for the higher order moments and cumulants of the bilinear time series model. We obtain the spectral and...