Partial Likelihood Inference For Time Series Following Generalized Linear Models

DOI10.1046/j.0143-9782.2003.00344.xzbMath1051.62073OpenAlexW2142792039MaRDI QIDQ4828176

Konstantinos Fokianos, Benjamin Kedem-Kimelfeld

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1046/j.0143-9782.2003.00344.x

zbMATH Keywords

time seriesgeneralized linear modelsconditional inferencepartial likelihood inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

Related Items (28)

Dependence on a collection of Poisson random variables ⋮ Estimation of regression and dynamic dependence paremeters for non-stationary multinomial time series ⋮ Copula directional dependence of discrete time series marginals ⋮ Nonlinear Poisson autoregression ⋮ Count Time Series: A Methodological Review ⋮ Beta autoregressive moving average models ⋮ A new look at the models for ordinal categorical data analysis ⋮ Efficient estimation method for generalized ARFIMA models ⋮ Some recent theory for autoregressive count time series ⋮ Autoregressive and moving average models for zero‐inflated count time series ⋮ SYMARFIMA: a dynamical model for conditionally symmetric time series with long range dependence mean structure ⋮ Inflated beta autoregressive moving average models ⋮ Stationary state space models for longitudinal data ⋮ Log-linear Poisson autoregression ⋮ Conway–Maxwell–Poisson Autoregressive Moving Average Model for Equidispersed, Underdispersed, and Overdispersed Count Data ⋮ Exact Bayesian designs for count time series ⋮ Interventions in INGARCH processes ⋮ Some recent progress in count time series ⋮ Multiple categorical covariates-based multinomial dynamic response model ⋮ Markov regression models for count time series with excess zeros: a partial likelihood approach ⋮ A PARAMETER‐DRIVEN LOGIT REGRESSION MODEL FOR BINARY TIME SERIES ⋮ Beta autoregressive fractionally integrated moving average models ⋮ GQL Versus Conditional GQL Inferences for Non-Stationary Time Series of Counts with Overdispersion ⋮ Beta seasonal autoregressive moving average models ⋮ Interventions in log-linear Poisson autoregression ⋮ Regression Models for Ordinal Categorical Time Series Data ⋮ Regression models for binary time series with gaps ⋮ Structural Laplace Transform and Compound Autoregressive Models

Uses Software

• R
• S-PLUS
• Fahrmeir

Cites Work

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• Bayesian forecasting and dynamic models.
• Partial likelihood process and asymptotic normality
• ARMA model identification
• Prediction and classification of non-stationary categorical time series
• Theory & Methods: Non‐Gaussian Conditional Linear AR(1) Models
• Truncated Poisson Regression for Time Series of Counts
• Informative Drop-Out in Longitudinal Data Analysis
• Linear Statistical Inference and its Applications
• Multivariate statistical modelling based on generalized linear models.
• A new look at the statistical model identification

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