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Modeling time series of counts with COM-Poisson INGARCH models

โœ Scribed by Fukang Zhu

Book ID
116735091
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
586 KB
Volume
56
Category
Article
ISSN
0895-7177

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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