On variance estimation in a negative binomial time series regression model

DOI10.1016/J.JMVA.2012.06.006zbMATH Open1273.62229OpenAlexW1967731186MaRDI QIDQ450867FDOQ450867

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

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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)

Cites Work

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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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