Schweer, Sebastian; Weiß, Christian H. - In: Computational Statistics & Data Analysis 77 (2014) C, pp. 267-284
The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly...