Regression theory for categorical time series

DOI10.1214/ss/1076102425zbMath1055.62095OpenAlexW2046917428MaRDI QIDQ1764307

Konstantinos Fokianos, Benjamin Kedem-Kimelfeld

Publication date: 24 February 2005

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ss/1076102425

zbMATH Keywords

partial likelihoodmartingaleresidualslink functiondevianceproportional oddsmixture transition distribution modelmultinomial logitsrandom time-dependent covariates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12)

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Uses Software

• astsa
• Fahrmeir

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