On variance estimation in a negative binomial time series regression model

DOI10.1016/J.JMVA.2012.06.006MaRDI QIDQ450867zbMATH OpenOpenAlexFDO

Authors Rongning Wu

Publication date 26 September 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.06.006

zbMATH Keywords

generalized linear modeltime series of countsvariance estimationnonstationaritysubsamplingregression analysislatent processkernel-based method

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• On Sample Reuse Methods for Spatial Data
• On autocorrelation in a Poisson regression model
• Replicate Histograms
• Subseries Methods in Regression
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
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• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression
• Window Subsampling of Estimating Functions with Application to Regression Models

Cited in

(6)

• The negative binomial process: a tractable model with composite likelihood-based inference
• Limit theorems for regression models of time series of counts
• A negative binomial model for time series of counts
• A parameter-driven logit regression model for binary time series
• A NEGATIVE BINOMIAL AUTOREGRESSION WITH A LINEAR CONDITIONAL VARIANCE-TO-MEAN FUNCTION
• Marginal estimation of parameter driven binomial time series models

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