Estimation for unequally spaced time series of counts with serially correlated random effects
✍ Scribed by Yasuhiro Omori
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 260 KB
- Volume
- 63
- Category
- Article
- ISSN
- 0167-7152
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✦ Synopsis
A generalized model for time series count data with serially correlated random e ects is introduced to establish robust inference procedures. Observations are taken at possibly unequally spaced time intervals and random e ects are assumed to have a stationary ergodic continuous time ÿrst-order autoregressive process. This is a generalization of Zeger (Biometrika 75 (1988) 621) where observations are taken at equally spaced time intervals and random e ects are assumed to follow a discrete autoregressive process. For reasons of robustness, the distributional forms of random e ects is not speciÿed. The central limit theorem is established to prove asymptotic normality of estimators.