Marginal estimation of parameter driven binomial time series models

DOI10.1111/JTSA.12205MaRDI QIDQ2954309zbMATH OpenOpenAlexFDO

Authors William T. M. Dunsmuir, Jieyi He

Publication date 12 January 2017

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

Full work available at URL https://arxiv.org/abs/1606.00976

zbMATH Keywords

marginal likelihoodbinomial time series regressionparameter driven models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Abstract: This paper develops asymptotic theory for estimation of parameters in regression models for binomial response time series where serial dependence is present through a latent process. Use of generalized linear model (GLM) estimating equations leads to asymptotically biased estimates of regression coefficients for binomial responses. An alternative is to use marginal likelihood, in which the variance of the latent process but not the serial dependence is accounted for. In practice this is equivalent to using generalized linear mixed model estimation procedures treating the observations as independent with a random effect on the intercept term in the regression model. We prove this method leads to consistent and asymptotically normal estimates even if there is an autocorrelated latent process. Simulations suggest that the use of marginal likelihood can lead to GLM estimates result. This problem reduces rapidly with increasing number of binomial trials at each time point but, for binary data, the chance of it can remain over 45% even in very long time series. We provide a combination of theoretical and heuristic explanations for this phenomenon in terms of the properties of the regression component of the model and these can be used to guide application of the method in practice.

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Cited in

(5)

• Classical inference for time series of count data in parameter-driven models
• A parameter-driven logit regression model for binary time series
• Modeling lottery incentives for daily adherence
• Regression models for binary time series with gaps
• The dimension-wise quadrature estimation of dynamic latent variable models for count data

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