Conditional-mean Multiplicative Operator Models for Count Time Series
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Publication:6420250
DOI10.1016/J.CSDA.2023.107885arXiv2212.05831OpenAlexW4388461526MaRDI QIDQ6420250FDOQ6420250
Publication date: 12 December 2022
Abstract: Multiplicative error models (MEMs) are commonly used for real-valued time series, but they cannot be applied to discrete-valued count time series as the involved multiplication would not preserve the integer nature of the data. We propose the concept of a multiplicative operator for counts as well as several specific instances thereof, which are then used to develop MEMs for count time series (CMEMs). If equipped with a linear conditional mean, the resulting CMEMs are closely related to the class of so-called integer-valued generalized autoregressive conditional heteroskedasticity (INGARCH) models and might be used as a semi-parametric extension thereof. We derive important stochastic properties of different types of INGARCH-CMEM as well as relevant estimation approaches, namely types of quasi-maximum likelihood and weighted least squares estimation. The performance and application are demonstrated with simulations as well as with two real-world data examples.
Full work available at URL: https://doi.org/10.1016/j.csda.2023.107885
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