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- Title
Likelihood Inference for Generalized Integer Autoregressive Time Series Models.
- Authors
Joe, Harry
- Abstract
For modeling count time series data, one class of models is generalized integer autoregressive of order p based on thinning operators. It is shown how numerical maximum likelihood estimation is possible by inverting the probability generating function of the conditional distribution of an observation given the past p observations. Two data examples are included and show that thinning operators based on compounding can substantially improve the model fit compared with the commonly used binomial thinning operator.
- Subjects
TIME series analysis; MAXIMUM likelihood statistics; INTEGERS; GENERATING functions
- Publication
Econometrics (2225-1146), 2019, Vol 7, Issue 4, p43
- ISSN
2225-1146
- Publication type
Article
- DOI
10.3390/econometrics7040043