期刊
JOURNAL OF TIME SERIES ANALYSIS
卷 35, 期 1, 页码 55-78出版社
WILEY
DOI: 10.1111/jtsa.12050
关键词
Autocorrelation; diagnostics; ergodicity; generalized linear models; link function; mixed Poisson processes; observation-driven model; prediction; weak dependence
资金
- Cyprus Research Promotion Foundation [TEXNOLOGIA/THEPIS/0609(BE)/02]
We study inference and diagnostics for count time series regression models that include a feedback mechanism. In particular, we are interested in negative binomial processes for count time series. We study probabilistic properties and quasi-likelihood estimation for this class of processes. We show that the resulting estimators are consistent and asymptotically normally distributed. These facts enable us to construct probability integral transformation plots for assessing any assumed distributional assumptions. The key observation in developing the theory is a mean parameterized form of the negative binomial distribution. For transactions data, it is seen that the negative binomial distribution offers a better fit than the Poisson distribution. This is an immediate consequence of the fact that transactions can be represented as a collection of individual activities that correspond to different trading strategies.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据