Observation-driven models for discrete-valued time series

DOI10.1214/22-EJS1989zbMATH Open1493.62546OpenAlexW4214847961MaRDI QIDQ2136647FDOQ2136647

Authors: Mirko Armillotta, Alessandra Luati, Monia Lupparelli 

Publication date: 11 May 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-1/Observation-driven-models-for-discrete-valued-time-series/10.1214/22-EJS1989.full

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zbMATH Keywords

count datalikelihood inferencegeneralized ARMA modelslink-function

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) Inference from stochastic processes and prediction (62M20)

Cites Work

• A flexible regression model for count data
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• Probabilistic Forecasts, Calibration and Sharpness
• Predictive model assessment for count data
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• Stationarity of generalized autoregressive moving average models
• Multivariate count autoregression
• Asymptotic properties of quasi-maximum likelihood estimators in observation-driven time series models
• Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator
• Poisson QMLE of count time series models
• Observation-driven models for Poisson counts
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• Quasi-likelihood inference for negative binomial time series models
• Poisson autoregression
• Akaike's information criterion in generalized estimating equations
• Markov Regression Models for Time Series: A Quasi-Likelihood Approach
• On weak dependence conditions for Poisson autoregressions
• Generalized Autoregressive Moving Average Models
• Time Series Models Based on Generalized Linear Models: Some Further Results
• Beta–Negative Binomial Auto-Regressions for Modelling Integer-Valued Time Series with Extreme Observations
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• Integer-Valued GARCH Process
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• Iterated Random Functions
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• Generalized ARMA models with martingale difference errors
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• On count time series prediction
• Count Time Series: A Methodological Review

Cited In (9)

• Feasible parameter regions for alternative discrete state space models
• Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
• Observation-driven models for Poisson counts
• Statistical analysis of multivariate discrete-valued time series
• An Introduction to Discrete‐Valued Time Series
• Testing Linearity for Network Autoregressive Models
• Discrete-valued time series based on the exponential family with the multidimensional parameter and their probabilistic and statistical analysis
• Integrating Time-Series Data in Large-Scale Discrete Cell-Based Models
• Count network autoregression

Uses Software

• glarma
• tscount

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