The moments of certain stochastic integrals with respect to Brownian motion are well known. In this paper the mean and variance of some integrals involving Brownian bridges are found.

This paper provides a general methodology for testing for dependence in time series data, with particular emphasis given to non-Gaussian data. A dynamic model is postulated for a continuous latent variable and the dynamic structure transferred to the non-Gaussian, possibly discrete,...

In this article, we extend the earlier work of Freeland and McCabe [Journal of time Series Analysis (2004) Vol. 25, pp. 701-722] and develop a general framework for maximum likelihood (ML) analysis of higher-order integer-valued autoregressive processes. Our exposition includes the case where...