✦ LIBER ✦

Limit theorems for regression models of time series of counts

✍ Scribed by Michel Blais; Brenda MacGibbon; Roch Roy

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 112 KB
Volume: 46
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(99)00101-7

No coin nor oath required. For personal study only.

✦ Synopsis

Here we present some limit theorems for a general class of generalized linear models describing time series of counts Y1; : : : ; Yn. Following Zeger (Biometrika 75 (1988) 621-629), we suppose that the serial correlation depends on an unobservable latent process { t }. Assuming that the conditional distribution of Yt given t belongs to the exponential family, that Y1| 1; : : : ; Yn| n are independent, and that the latent process satisÿes a mixing condition, it is shown that the quasi-likelihood estimators of the regression coe cients are asymptotically normally distributed.

📜 SIMILAR VOLUMES

Applications of Central Limit Theorems o

Applications of Central Limit Theorems over asymptotically measurable sets: Regression Models

✍ Gonzalo Perera 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 325 KB

Characterization of error distributions

Characterization of error distributions in time-series regression models

✍ M. Hallin; J. Jurečková; X. Milhaud 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 475 KB

A reformulation of the Hausman test for

A reformulation of the Hausman test for regression models with pooled cross-section-time-series data

✍ Seung C. Ahn; Stuart Low 📂 Article 📅 1996 🏛 Elsevier Science 🌐 English ⚖ 651 KB

Functional limit theorems for the infini

Functional limit theorems for the infinite series of OU processes in Hölder norm

✍ Zhengyan Lin; Kyo-Shin Hwang; Tian Xiao Pang 📂 Article 📅 2007 🏛 Elsevier Science 🌐 English ⚖ 277 KB

Applications of quasi-periodic oscillati

Applications of quasi-periodic oscillation models to seasonal small count time series

✍ Tomoyuki Higuchi 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 258 KB

Quasi-periodic oscillation models for analysis of small count time series are considered within a framework of a generalized state space model (GSSM). In particular, we focus on the analysis of seasonal count data. The Monte Carlo ÿlter (MCF) is fully employed in this study to handle a generalized s

Estimation for unequally spaced time ser

Estimation for unequally spaced time series of counts with serially correlated random effects

✍ Yasuhiro Omori 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 260 KB

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 autor