Composite likelihood for time series models with a latent autoregressive process

MaRDI QIDQ3074772zbMATHFDO

Authors Chi Tim Ng, Harry Joe, Dimitris Karlis, Juxin Liu

Publication date 10 February 2011

Full work available at URL http://www3.stat.sinica.edu.tw/statistica/J21N1/J21N112/J21N112.html

zbMATH Keywords

asymptotic normalityconsistencycount datarandom effectspairwise likelihoodGauss-Hermite quadrature

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12)

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Cited in

(14)

• A propensity score adjustment method for longitudinal time series models under nonignorable nonresponse
• Flexible and Robust Mixed Poisson INGARCH Models
• Inference and forecasting for continuous-time integer-valued trawl processes
• SUPERPOSITIONED STATIONARY COUNT TIME SERIES
• The dimension-wise quadrature estimation of dynamic latent variable models for count data
• Composite T-process regression models
• Knowledge Learning of Insurance Risks Using Dependence Models
• Composite likelihood under hidden Markov model
• Modeling Compositional Time Series with Vector Autoregressive Models
• Bayesian methods for time series of count data
• Maximum likelihood estimation of a latent variable time-series model
• Analysis of dependent data aggregated into intervals
• Student‐t stochastic volatility model with composite likelihood EM‐algorithm
• On composite likelihood estimation of a multivariate INAR(1) model

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